In response to the significant autogenous shrinkage issue of ultra-high performance concrete (UHPC) under normal temperature curing, the influence of lightweight aggregates with water-holding capacity mixed with coarse aggregates on the compressive strength and autogenous shrinkage performance of UHPC was investigated. The mixing proportions of the two types of aggregates were optimized using the response surface method (RSM). The results show that adequate amounts of basalt and volcanic rocks with water-holding capacity effectively reduce the shrinkage of UHPC. The rigid basalt restrains the shrinkage of the matrix, while volcanic rocks with water-holding capacity release moisture slowly, alleviating the autogenous drying effect and thus reducing shrinkage. However, an excessive amount of basalt and volcanic rocks leads to a decrease in the compressive strength of UHPC. This is because the coarse aggregates increase the transition zone between the matrix and coarse aggregates, resulting in fiber clustering, and the low strength of volcanic rocks makes it difficult to compensate for the degradation effect brought about by the transition zone.