This paper focuses on the applicability of CatBoost models constructed using various optimization techniques for improved forecasting the compressive strength of ultra‐high‐performance concrete (UHPC). Phasor particle swarm optimization (PPSO), dwarf mongoose optimization (DMO), and atom search optimization (ASO), which have been very popular recently, are preferred as optimization algorithms. A comprehensive and reliable data set is used to develop the CatBoost models, which include 785 test results with 15 input features. The performance of the CatBoost models (PPSO‐CatBoost, DMO‐CatBoost, and ASO‐CatBoost) optimized with different algorithms is thoroughly assessed by means of various statistical metrics and error analysis to determine the model with the best forecasting capability, and this model is compared with the models obtained from previous studies. In addition, Shapley additive exPlanations (SHAP) analysis is used to ensure the interpretability of the forecasting models and to overcome the “black box” problem of machine learning (ML) models. The obtained results demonstrate that all CatBoost models outstandingly forecast the compressive strength of UHPC. Among these models, the DMO‐CatBoost model stands out compared to the other models in various performance metrics, such as high coefficient of determination (R2) values, low root mean squared error (RMSE), mean absolute percentage error (MAPE), and mean absolute error (MAE) values, along with a smaller error ratio. In other words, the RMSE, R2, MAPE, and MAE values of the DMO‐CatBoost model for the training set are 3.67, 0.993, 0.019, and 2.35, respectively, whereas those for the test set are 6.15, 0.978, 0.038, and 4.51. Additionally, the performance ranking of the algorithms used to optimize the hyperparameters of the CatBoost model is as follows: DMO > PPSO > ASO. On the other hand, SHAP analysis showed that age, fiber dosage, and cement dosage significantly influence the compressive strength of UHPC. These findings can guide structural engineers in the design and optimization of UHPC, thus assisting them in developing strategies to improve the strength properties of the material. Finally, based on the best forecasting model developed in this work, a graphical user interface has been developed to easily forecast the compressive strength of UHPC in practical applications without additional tools or software.