To identify the influence of MgO expensive agent (MEA) on the shrinkage performance and compressive strength of ultra-high performance concrete (UHPC), this paper aims to evaluate the effect of MEA with different activity and dosages on the compressive strength and autogenous shrinkage of UHPC and analyze the mechanism. The results show that MEA with different activities effectively inhibits the shrinkage of UHPC. The high activity MEA has a relatively high hydration rate and shows a significant inhibition effect on the early autogenous shrinkage for UHPC. However, the compressive strength of UHPC containing high activity MEA is about 6% lower than that of UHPC with low activity MEA due to the existence of the water contention effect between MEA and cement. The content of MEA is an important factor affecting the shrinkage reduction effect. When the content of MEA exceeds 6% (mass fraction), the expansion performance of UHPC cannot be fully stimulated due to the limitation of the free water content in the UHPC matrix, and it is difficult to further improve the expansion performance of MEA considering the influence of MEA on the shrinkage performance and mechanical properties of UHPC, a low-activity MEA with a reactivity value of 220 s and a dosage of 6% is suggested in this study.