The steel corrosion in Ultra-High Performance Concrete (UHPC) would cause degradation of structural performance or even structural failure. It is an urgent need to monitor and predict the steel corrosion in UHPC, however it is still a tough task. In this paper, Fiber Bragg Grating (FBG) sensors are applied for monitoring the steel corrosion process in UHPC, by combining with steel bar, which is equidistant winding with the sensors, and connected with power supply for accelerating corrosion. The UHPC specimens embedded with steel bars are surrounded by sodium chloride (NaCl) solution, and the steels are artificially corroded with different current densities for investigation. The steel corrosion in Original C60 and Marine Concrete 60 (Marine C60) are applied for comparison. The volume expansion coefficient for monitoring the steel corrosion process, is carried out by FBG sensors, and further comprehensively monitored by three grating sensors. The results suggest that the steel corrosion process in UHPC is slowly with current density lower than 100 μA/cm2, and largely increases with current density higher than 500 μA/cm2, the volume expansion coefficient of corroded steel in UHPC is in range of 2.02–2.62 in this test, which is much different from Original C60 and Marine C60.