Ultra-high performance concrete (UHPC) is a novel cement-based material with exceptional mechanical and durability properties. Silica fume, the primary supplementary cementitious material (SCM) in UHPC, is expensive in North America, so it is often substituted with inexpensive class F fly ash. However, future availability of fly ash is uncertain as the energy industry moves toward renewable energy, which creates an urgent need to find cost-effective and environmentally friendly alternatives to fly ash. This study investigated replacing cement, fly ash, and silica fume in UHPC mixtures with ground granulated blast-furnace slag (GGBFS), metakaolin, and a natural pozzolan (pumicite). To identify acceptable UHPC mixtures (28-day compressive strength greater than 120 MPa), workability, compression, and flexural tests were conducted on all mixtures. Then, durability properties including shrinkage, frost resistance, and chloride ion permeability (rapid chloride permeability and surface resistivity tests) were evaluated for the acceptable UHPC mixtures. Results showed that 75, 100, and 40% of fly ash in the control mixture could be replaced with pumicite, metakaolin, and GGBFS, respectively, while still producing acceptable strengths. Flexural strengths were greater than 14.20 MPa for all mixtures. For durability, UHPC mixtures had shrinkage strains no greater than 406 μstrain, durability factors of at least 105, and “very low” susceptibility to chloride ion penetration, indicating that these SCMs are suitable candidates to completely replace fly ash and partially replace silica fume in non-proprietary UHPC.