Ultra-high performance concrete (UHPC) is a relatively new cementitious concrete composite with significant application potential in infrastructure construction because of its excellent mechanical strength and durability. The steel fiber–matrix interfacial bond is the main factor that governs other mechanical properties of UHPC, including tensile, flexural, and compressive strengths and failure mode (fracture behavior). This paper presents a comprehensive review on the research progress of fiber–matrix bond behaviors of UHPC by discussing and comparing a range of fiber pullout testing methods and analytical models. The parameters of the fiber–matrix bond, including the geometry and orientation of fibers, surface treatment, and composition and strength of the matrix, are identified and discussed in detail. Lastly, recommendations for future research related to UHPC strengthening methods and testing details are provided based on recent progress.