The shrinkage of core concrete during construction is the key reason for the separation of steel pipes and core concrete. Utilizing expansive agents during cement hydration is one of the main techniques to prevent voids between steel pipes and core concrete and increase the structural stability of concrete-filled steel tubes. The expansion and hydration properties of CaO, MgO, and CaO + MgO composite expansive agents in C60 concrete under variable temperature conditions were investigated. The effects of the calcium–magnesium ratio and magnesium oxide activity on deformation are the main parameters to consider when designing composite expansive agents. The results showed that the expansion effect of CaO expansive agents was predominant in the heating stage (from 20.0 °C to 72.0 °C at 3 °C/h), while there was no expansion in the cooling stage (from 72.0 °C to 30.0 °C at 3 °C/d, and then to 20.0 °C at 0.7 °C/h); the expansion deformation in the cooling stage was mainly caused by the MgO expansive agent. With the increase in the active reaction time of MgO, the hydration of MgO in the heating stage of concrete decreased, and the expansion of MgO in the cooling stage increased. During the cooling stage, 120 s MgO and 220 s MgO resulted in continuous expansion, and the expansion curve did not converge, while 65 s MgO reacted with water to form brucite in large amounts, leading to its lower expansion deformation during the later cooling process. In summary, the CaO and 220 s MgO composite expansive agent in the appropriate dosage is suitable for compensating for the shrinkage of concrete in the case of a fast high-temperature rise and slow cooling rate. This work will guide the application of different types of CaO-MgO composite expansive agents in concrete-filled steel tube structures under harsh environmental conditions.