The influence of air-cooled blast furnace slag aggregates as replacement of natural aggregates on the water absorption of concrete and mortar was studied, and the mechanism was analyzed. The interface between aggregate and matrix in concrete was analyzed by using a micro-hardness tester, a laser confocal microscope and a scanning electron microscope with backscattered electron image mode. The pore structure of mortar matrixes under different curing conditions was investigated by mercury intrusion porosimetry. The results showed that when natural aggregates were replaced with air-cooled blast furnace slag aggregates in mortar or concrete, the content of the capillary pore in the mortar matrix was reduced and the interfacial structure between aggregate and matrix was improved, resulting in the lower water absorption of mortar or concrete. Compared to the concrete made with crushed limestone and natural river sand, the initial absorption coefficient, the secondary absorption coefficient and the water absorption capacity through the surface for 7 d of the concrete made from crushed air-cooled blast furnace slag and air-cooled blast furnace slag sand were reduced by 48.9%, 52.8%, and 46.5%, respectively.