Low water-cement ratio (W/C) and high-strength concrete have been widely used, and cracks caused by the early autogenous shrinkage of concrete have become increasingly prominent. Carbon nanofibers (CNFs) have been added to cement-based materials to help enhance autogenous shrinkage and reduce early cracks. In this study, uniformly dispersed CNFs were added into high-performance cementitious composites. The autogenous shrinkage of high-performance cementitious composites incorporated with CNFs at varying amounts was also investigated; the W/C ratios were 0.25, 0.30, and 0.35. The microscopic mechanism of autogenous shrinkage was also determined based on heat of hydration, hydration products, microstructure, and porosity of cementitious CNF composites. Adding appropriate amounts of CNF decreased the autogenous shrinkage of cementitious composites. When 0.12 wt% CNF cement paste was incorporated into the sample, the reduced ratio of autogenous shrinkage (reaching 98.73%) relative to that of the blank sample, as well as the autogenous shrinkage, was minimal with the W/C equal to 0.35 after treatment for 7 days.