The aim of this work was to investigate a wide range of grain sizes of sand in the pre-yield regime during compression through the combined study of ultrasound (US) wave speed and acoustic emission (AE). The specific study was performed using modified oedometer and uniaxial compression experimental set-ups. The studied samples were natural dune sand (poorly graded on the poorly graded sand (SP) index) as well as its three extracted fractions as follows: 2.36–0.6 mm, 0.6–0.3 mm and 0.3–0.075 mm. The maximum compression stress during the modified oedometer experiments was <150 kPa, while during the modified uniaxial compression experiments, it was <400 kPa. Each sample was loaded while measuring the US pressure (P) wave speed and AE at each loading stage. The results show that the stiffer the soil is, the higher the value of the P wave speed measured, resulting in similar P wave velocity values achieved at a much lower applied stress during the oedometer experiments in comparison with the uniaxial compression tests. Regarding the AE results, it is seen that the higher the stress level is, causing more friction between the sand particles, the more AE events there are during their movement. The following parameters of AE were shown to be the most sensitive to the stress increase: the number of AE hits and the signals’ energy.