Response of structures subjected to blast loading is a highly complex phenomena involving time-dependent deformation, geometric and material nonlinearities and loading rate based material properties. During an explosion, blast loads act as an impulsive load of very short duration developing enormous heat and pressure. With increasing terrorist threats, attention is needed to study dynamic response of structures under blast loading. Ultra high strength concrete (UHPC) has been found to considerably enhance strength, member size, weight reduction and workability and is now a day used due to improved energy absorption capacity, workability and anti-abrasion ability. Investigations conducted by several researchers to study blast-resistant capacities of UHPC have demonstrated possibilities of using the material in structures susceptible to terrorist attack. The present paper provides comprehensive review of published research to study blast loading effect on Ultra high performance fibre reinforced concrete (UHPFRC) structural elements in terms of variables like standoff distance, charge weight, types of blast loadings, grades of UHPFRCs, etc., both analytically and experimentally. UHPFRC slab panels, beams, columns, and other fibre composite structures have been studied at structural level to draw fruitful inferences and conclusions. It has been found that UHPFRC possesses increased capacity to disseminate large amount of energy during blast loading and demonstrates better performance after blast damage contrasted with normal strength concrete and High strength concrete. Detailing in UHPFRC structural elements under seismic condition offers improved blast performance, and UHPFRC can more effectively resist compression and shock waves. Low Strength and low ductility fibres added to UHPFRC further illustrates minimal influence on the blast performance and fracture energy. Shear failure is also found to be one of the dominant modes in UHPFRC under blast loading at close standoff. Based on extensive review, further research is proposed to solve complex problems to achieve appropriate design of structural UHPFRC members.