Ultra-high performance concrete (UHPC)-filled socket connections (UFSCs) provide a novel method for connecting bridge piers and footings, and allow for high matching tolerance and accelerated construction. At present, the lack of related research on the direct shear behavior of UFSCs hindered the promotion of this technology. This paper carried out the push-out test to explore the influences of embedded depths, horizontal confining pressures, and the shear key shapes on the direct shear behavior of the UFSCs. Monolithic specimens were also tested as a reference. The experimental results showed that increasing the socket depth and horizontal confining pressure has a positive impact on the direct shear capacity. With the same key width, escalating the key root height could also enhance the direct shear capacity. The experimental results also indicated that the load-bearing capacity of UHPC-connected specimens was generally lower than those of corresponding monolithic specimens. AASHTO and JSCE formulas were used to predict the direct shear capacity of joints, which relatively underestimated the experimental results. The average ratio between the calculated values of the two formulas and experimental results was 0.70 and 0.81, respectively. Based on the strut-and-tie model (STM), the shear capacity formula for UFSC was proposed, exhibiting a high degree of agreement with the test results, with an average ratio between calculated values and experimental results of 0.98.