To maximize the benefits of high-strength steel (HSS) and ultra-high performance concrete (UHPC) composite structures, proper connections at HSS-UHPC interfaces are essential. Due to the significant variations in material strengths and component dimensions, traditional shear connectors could be unsuitable for HSS-UHPC interfaces. This study proposes a new TU-type connector (T-shaped rib with U-shaped holes), which has the advantages of high shear and tensile capacity, good slip capacity, low height limitation, and easy installation. Firstly, eighteen push-out tests of HSS TU-type connectors embedded in UHPC were performed to investigate the effect of connector heights and the contribution of connector flanges. The failure process, including the yielding of hole walls, the fracture of connector webs, and the development of fracture surfaces was discussed. Besides, the microstructures involving smooth areas, lamellar structures, and dimples on the fracture surfaces were presented by scanning electron microscope (SEM), and the effect of flange foam blocks on the out-of-plane displacements of UHPC slabs was investigated by digital image correlation (DIC). Secondly, the shear force–displacement curves and the load–strain relations of steel plates and rebars were discussed. In addition, the effects of considered parameters on shear capacity, peak slips, and shear stiffness were investigated. Finally, a strut-and-tie model was established to reveal the shear mechanism of TU-type connectors. Based on the principle of virtual work, the shear capacity equations of TU-type connectors were proposed.