The joints between segments represent weak points and introduce discontinuity into structures, therefore they are particularly significant in precast concrete segmental bridges. In this study, a new steel shear key was designed, and 6 full-scale tests were conducted. Various shear keys and joint types were taken as experimental parameters to study crack propagation, failure mode, shear slip, ultimate bearing capacity, and the residual bearing capacity of various joints under direct shear loading. The results show that the stiffness and shear capacity of steel shear keyed joints were higher than concrete key joints, and the structural system was more stable than concrete keyed joints at the moment of cracking. Both the concrete key and steel key epoxied joints suffered direct shear failure. However, different to the concrete epoxied joints which experienced brittle failure, steel key epoxied joints demonstrated a large residual capacity. Based on traditional segmental bridges construction, construction methods involving steel shear keyed joints included short-line match, long-line match, and modular methods are introduced. Finally, the feasibility of steel shear keyed joints construction was verified via engineering tests.