Cooling regimes have a significant effect on the mechanical properties of ultra-high performance concrete (UHPC) after exposure to elevated temperatures. Load-bearing structures are easily subjected to the coupling action of static and dynamic loads in the fire. This study investigated the dynamic behavior and failure characteristics of UHPC after exposure to heating-cooling treatments. The variations in the P-wave velocities, compressive strengths, elastic modulus and dynamic increase factor (DIF) of the specimens in terms of the different cooling regimes (natural cooling, water cooling) were analyzed. The experimental results indicated that as compared to natural cooling, water cooling caused significant losses in the P-wave velocities, quasi-static and dynamic compressive strength, and dynamic elastic modulus due to the thermal shock induced by water cooling. As the target temperature increased from 250 to above 500 °C, the difference of mechanical property losses varied from small to large, indicating that the thermal shock induced by water cooling caused insignificant damage to the specimen at 250 °C, whereas considerable damage was induced to the specimen above 500 °C. Water cooling enhanced the DIF values of the specimens below 500 °C, but reduced the DIF values at 750 °C. Axial static-pressure loading improved the mechanical properties of the specimen when UHPC was in the elastic phase, which could be attributed to the initial microcracks and pores closed and compacted by the axial static-pressure. However, when the axial static-pressure exceeded the elastic limit of UHPC, microcracks were prone to expansion under impact loads and the mechanical properties of the specimens deteriorated rapidly. Likewise, the failure pattern of the specimen under a given impact load was mainly determined by the heating temperature and cooling regime, whereas the axial static-pressure loading could only affect the fragment size.