In this paper, a bending test of a precast ultra-high-performance concrete (UHPC) diaphragm slab was carried out. The test revealed that the flexural failure process of specimens under the action of a positive bending moment can be divided into three stages: the elastic, crack-propagation, and yield stages. The first stiffness reduction of the structure was caused by cracks at the bottom of the diaphragm slab, while the second stiffness drop resulted from the yielding of the bottom longitudinal rebars. During the loading process, the ultimate bearing capacity was 3.75 times higher than the design load value (150 kN vs. 40 kN). Additionally, a nonlinear finite element model was established using Abaqus software validated by the test and exploiting parameter analysis. Based on this model, the initial crack stress of the actual slab was determined to be 5.12 MPa. Parameter analysis indicated that the shear strength of the diaphragm slab was stronger than the flexural strength, and the diaphragm slab’s bearing capacity could be improved by increasing the ratio of bottom longitudinal reinforcement. This research confirmed that the new UHPC diaphragm slab used in Guangzhou Smart City is safe, and it also helped the design of similar UHPC slabs for utility tunnels.