This study uses a setup involving a scanning electron microscopy (SEM) to examine the infiltration behaviour and mechanism of the formation of filter cake from sand-modified bentonite slurry. We began by determining whether a filter cake can be formed by using water–bentonite slurry in samples of the fine, medium, and coarse sand (Series 1). Water–bentonite–sand slurries with different mass ratios of bentonite and fine sand (B:S) were subsequently tested using the medium and coarse sand (Series 2). The results show that for Series 1, a thin filter cake (<0.1 mm after drying) with extremely low permeability (∼10 m/s) was formed only when the fine sand was used. The filter cake consisted of layers of dense bentonite platelets arranged perpendicular to the infiltration direction. Similar results were obtained for Series 2 between the medium and coarse sand. Within the range of 1:1.5 ≤ B:S ≤ 1:0.5, the low permeable filter cake was formed on the deposited layer of fine sand and bentonite platelet. Contrary to expectations, adding more sand (B:S = 1:2) did not complete the formation of filter cake, and instead led to continuous deposition of fine sand and bentonite platelet, which may cause inadequate effective face support during slurry shield tunneling.