In this study, the effects of different fine aggregates on the properties of polyethylene fiber engineered cementitious composite (PE-ECC) were systematically investigated. The PE-ECCs were prepared with four fine aggregates, respectively. Furthermore, their flowability, compressive strength, and uniaxial tensile properties were studied experimentally and comparatively analyzed by microscopic techniques including X-ray diffraction (XRD), scanning electron microscope (SEM), energy-dispersive spectroscopy (EDS), and mercury intrusion porosimetry (MIP). The results showed that all the different types of fine aggregates exhibited little effect on the flowability of PE-ECC, but a greater effect on the compressive strength, uniaxial tensile strength, and ultimate tensile strain. PE-ECC prepared from untreated desert sand showed the best comprehensive performance, with compressive strength, uniaxial tensile strength, and ultimate tensile strain of 47.92 MPa, 6.26 MPa, and 3.638%, respectively. Moreover, it was found that the ultra-fine particles in the desert sand promoted the hydration reaction of cement and produced more C–S–H gels. The pore structures of ECC prepared with different aggregates exhibited obvious fractal characteristics, and the fractal dimension ranged from 2.8 to 2.9. The fractal dimension showed a strong correlation with parameters including ultimate tensile strain and pore structure, and the larger the fractal dimension, the smaller the ultimate tensile strain, porosity, and average pore size of ECC.