This paper studies the macro compressive strength, morphological changes and microstructure of a relatively new type of ultra-high performance concrete (UHPC) with coarse aggregates (CA-UHPC) when they are either exposed to high temperature (hot state) or after exposing to high temperature and cooling to room temperature (cold state). CA-UHPC specimens with a range of coarse aggregates ratios and subjected to temperatures up to 900 °C are tested and evaluated. The compressive test results show that adding coarse aggregates (volume content ≤30%) can improve compressive strength of CA-UHPC at both room and high temperature. From the test results, strength reduction coefficients of the CA-UHPC of the hot and cold states are proposed, respectively. The paper also presents the results on the micro scale analyses of mass loss, structure morphology, phase transformation and pore evolution of the CA-UHPC after exposed to high temperature, from which the temperature correlations between the evolution of the microstructure of the material, the change of macroscopic strength, and the deterioration mechanism of the materials are discussed.