This study explores the ballistic impact resistance of Ultra-High Performance Concrete (UHPC) through an extensive and detailed experimental investigation. This study will address various gaps related to the impact performance of UHPC. This investigation focused on understanding the ballistic resistance performance of UHPC based on (a) the influence of projectile/bullet parameters (hardness, velocity/energy, diameter, and nose shape), (b) the effect of hybrid fibers, (c) comparative analysis of the use of steel mesh and reinforcement bars and (d) effect of sub-zero temperature. In this parametric investigation, different types and shapes (flat, conical, and ogive) of hardened steel projectiles (diameter 12 and 18 mm) with impact velocities ranging from 103 to 182 m/s or impact energy ranging from 674 to 2103 J and UHPC slabs with thickness ranging from 36 to 100 mm was considered. Steel mesh and reinforcement bars at different spacing (with and without fiber UHPC) were also assessed, along with the effect of sub-zero temperature of −30 °C. The impact energy of the projectile and thickness of UHPC targets were statistically significant parameters affecting penetration depth in UHPC compared to other parameters with a p-value much less than 0.001. The Artificial Neural Network (ANN) model developed in the study could predict the penetration depth with reasonable accuracy (MAPE and RMSE were observed to be 7.69 and 12.12, respectively). The experimental results of this study will provide insights into the development of guidelines for using UHPC as a protective material, which can help ensure the safety and resilience of infrastructures in the face of potential threats.