Experimental investigations on the mechanical properties of ultra-high performance concrete (UHPC) incorporating two types of recycled steel fiber processed from waste tires and three types of industrial steel fiber were carried out for comparison. Mechanical properties of UHPC include compressive strength, splitting tensile strength, fracture energy, and elastic modulus. Their explosive spalling behaviors under high temperatures were also investigated. The results show that all types of steel fiber exhibit a beneficial effect on the mechanical properties and the anti-spalling behavior of UHPC, except that recycled steel fiber with rubber attached (RSFR) has a slightly negative effect on the compressive strength of UHPC. Compared to industrial steel fibers, recycled steel fibers have a more significant influence on improving the splitting tensile strength and fracture energy of UHPC, and the improvement of RSFR was much higher than that of recycled steel fiber without rubber (RSF). UHPC that incorporates industrial hooked-end steel fiber (35 mm in length and 0.55 mm in diameter) exhibits the best resistance to explosive spalling, and the second is the RSF reinforced UHPC. The positive relationship between the fracture energy and the anti-spalling behavior of steel fiber reinforced UHPC can be presented. These results suggest that recycled steel fiber can be a toughening material and substitute for industrial steel fibers to be used in ultra-high performance concrete, especially RSFR.