Smart high-performance cementitious composite (SHPCC) with sensing abilities, high mechanical, and high durability is a potential smart material instead of current sensors applied for structural health monitoring systems of infrastructures. This study deeply investigated the sensing properties of SHPCCs containing multiwall carbon nanotubes (MWCNTs), steel fibers, and steel slag aggregates (SSAs) under compression. SHPCCs containing different contents of MWCNTs (0.1% and 0.5% of cement weight), steel fibers (2 and 4 vol%), SSAs (10% and 50% instead of sand), and free water (fully dried and moisture specimens) were prepared and evaluated. The results indicated that the SSA content was a key factor controlling the electrically conductive network response and the stress-sensing ability of SHPCCs. MWCNTs significantly enhanced the stress-sensing ability of fully dried SHPCCs under compression. Besides, the free water content in pore systems significantly influenced the stress-sensing ability of SHPCCs. A conductive network of SHPCCs with MWCNTs, fibers, SSAs, and free water at micro and nano levels was proposed and analyzed to explain the electrical resistivity response under compression.