Hydration shrinkage generated by cement hydration is the cause of autogenous shrinkage of high strength concrete. It may result in the volume change and even cracking of mortar and concrete. According to the data analysis in a series of experimental studies, the influence of ultra-fine fly ash on the hydration shrinkage of composite cementitious materials was investigated. It is found that ultra-fine fly ash can reduce the hydration shrinkage of cement paste effectively, and the more the ultra-fine fly ash, the less the hydration shrinkage. Compared with cement paste without the ultra-fine fly ash, the shrinkage ratio of cement paste reduces from 23.4% to 39.7% when the ultra-fine fly ash replaces cement from 20% to 50%. Moreover, the microscopic mechanism of the ultra-fine fly ash restraining the hydration shrinkage was also studied by scanning electron microscopy, X-ray diffraction and hydrated equations. The results show that the hydration shrinkage can be restrained to a certain degree because the ultra-fine fly ash does not participate in the hydration at the early stage and the secondary hydration products are different at the later stage.