In this study, the carrier effect of zeolite sands in reducing the autogenous shrinkage and optimizing the microstructure of ultra-high-performance concrete (UHPC) is studied. Pre-wetted calcined zeolite sand (CZ), calcined at 500 °C for 30 min, and natural zeolite sand (NZ), with 15 wt.% and 30 wt.% in UHPC, are used to partially replace standard sands. On that basis, a series of experiments are executed on the developed UHPC, including compressive strength, autogenous shrinkage, X-ray diffraction (XRD), and isothermal calorimetry experiments. With the increase of the zeolite sand content, the autogenous shrinkage of UHPC decreases gradually. Moreover, when the added CZ content is 30 wt.% (CZ30 specimen), it is effective in reducing autogenous shrinkage. Meanwhile, at the age of 28 days, the compressive strength of CZ30 is 97% of the control group. In summary, it is possible to effectively reduce the autogenous shrinkage of UHPC containing 30 wt.% CZ, without sacrificing its mechanical properties.