A comprehensive study of the microstructural properties of ultra-high performance concrete (UHPC) provides essential information about the underlying causes of its mechanical properties. The present article reviews studies that used X-ray diffraction (XRD), scanning electron microscope (SEM), mercury intrusion measurement (MIP), energy-dispersive X-ray spectroscopy (EDS), and thermal analysis to investigate the microstructure of UHPC containing silica sand and different cementitious materials as partial replacement of cement, including silica fume, zeolite, ground-granulated blast furnace slags, lithium slag, metakaolin, limestone powder, and rice husk ash. Moreover, the importance of microstructural analyses for expressing the cause of optimal percentages of different cement replacements, determining the best type of pozzolan, the appropriate sand in UHPC, and the appropriate curing method to create the best mechanical properties were highlighted. The results proved the rather small transition zone in the UHPC indicating a strong bond between the cement paste and the aggregates, and a very dense internal structure.