Shrinkage cracking of concrete is one of the main problems affecting the durability of high-strength concrete. One of the main measures to solve this problem is to use expansion agents to compensate for the shrinkage of concrete. But on the other hand, excess expansion, while compensating for shrinkage, is likely to have a detrimental effect on mechanical properties of concrete. Especially for bridge decks and airport pavement with high requirements for impact resistance, toughness, and crack resistance, the use of expansion agents alone cannot meet the performance requirements. In this study, the mechanical properties and autogenous shrinkage of concrete were studied when MgO expansion agent (MEA) and steel fiber were used simultaneously. The results showed that the expansion produced by MEA increased the porosity while compensating for the shrinkage of concrete. Compared with plain concrete, the porosity increased by 4.4% when MEA was incorporated alone. After MEA and steel fiber were used simultaneously, the steel fiber constrained the expansion of MEA through the adhesive friction between fiber and matrix, which made the interface transition zone (ITZ) between cement paste and fiber densified. In this way, the shrinkage of concrete was avoided without reducing the mechanical properties. Especially when 8% MEA and 1% steel fiber were used simultaneously, the compressive strength and splitting tensile strength of concrete were increased by 20.6% and 65.0% respectively, and the porosity was decreased by 20.9%. The expansion of concrete at 410d when used simultaneously was 371 × 10−6, which was 20.7% lower than that of MEA alone, avoiding the possible adverse effects of excessive expansion of MEA. The research results have guiding significance for improving the crack resistance and impact resistance of concrete.