This study explores the viability of ultra-high-performance concrete (UHPC) as a structural material for compressed air storage (CAES) systems, combining comprehensive experimental testing and numerical simulations. Scaled (1:20) CAES tanks were designed and tested experimentally under controlled pressure conditions up to 4 MPa (580 psi), employing strain gauges to measure strains in steel cylinders both with and without UHPC confinement. Finite element models (FEMs) developed using ANSYS Workbench 2024 simulated experimental conditions, enabling detailed analysis of strain distribution and structural behavior. Experimental and numerical results agreed closely, with hoop strain relative errors between 0.9% (UHPC-confined) and 1.9% (unconfined), confirming the numerical model’s accuracy. Additionally, the study investigated the role of a rubber interface layer integrated between the steel and UHPC, revealing its effectiveness in mitigating localized stress concentrations and enhancing strain distribution. Failure analyses conducted using the von Mises criterion for steel and the Drucker–Prager criterion for UHPC confirmed adequate safety factors, validating the structural integrity under anticipated operational pressures. Principal stresses from numerical analyses were scaled to real-world operational pressures. These thorough results highlight that incorporating rubber enhances the system’s structural performance.