Internal curing can improve the water supply needed for shrinkage compensation in ultra-high-performance concrete (UHPC). This study investigated a magnesium oxide expansive agent (MEA) combined with presaturated perforated cenospheres (PCs) in a cement-silica fume-blended industrial by-product system. Setting time, flow spread, compressive strength, autogenous and drying shrinkage, internal relative humidity, hydration heat, thermogravimetric behavior, mercury-intrusion-accessible pore structure, and local morphology were examined. MEA alone reduced shrinkage but decreased flow spread and compressive strength as its dosage increased. At a fixed MEA dosage, the PC-containing mixtures showed lower shrinkage and higher flow spread and strength, alongside delayed setting. M6P8 showed 62.8% lower autogenous shrinkage at 168 h after final setting and approximately 76% lower drying shrinkage at the end of the 180-day drying test than Ref. It achieved a 28-day compressive strength of 157.0 MPa, close to the Ref mean of 156.0 MPa. Higher PC dosages were associated with higher late-age internal relative humidity and, relative to MEA alone, higher cumulative heat release and lower intrudable pore volume. These observations are consistent with reduced self-desiccation and continued hydration, but do not directly measure PC water release or MgO hydration. PC replacement simultaneously reduced cement content and introduced stored water; the observed response therefore represents combined effects and does not establish a synergistic interaction.