For facilitating carbon utilization and minimizing carbon emission, steel fiber was coated with polyethyleneimine and subjected to a moist condition to capture carbon dioxide, and the CO2 captured steel fiber (CPSF) was formed, which was used to prepare ultra-high performance concrete (UHPC). After heat curing, compressive strength and splitting tensile strength of UHPC were determined. The results reveal that, compared to the UHPC with polyethyleneimine-coated steel fiber (PSF), the compressive strength and splitting tensile strength of UHPC with CPSF increased by 16.3% and 3.4%, respectively. The microstructural tests including environmental scanning electron microscope, X-ray diffraction and thermogravimetric analysis prove that, under a combined curing of 90 °C hot water and subsequent 200 °C dry-air heating, carbon dioxide chemically combined in the coating of CPSF can be released during the combined curing and react with calcium hydroxide or cement clinkers in the matrix surrounding CPSF to generate calcium carbonate and calcium-silicate-hydrate (C–S–H) gels, which is responsible for both the refinement of microstructure and enhancement of mechanical properties of UHPC.