Ultra‐high performance concrete (UHPC) is an emerging class of cementitious materials with the strength and durability characteristics that far exceed those of normal‐strength concrete (NSC). While the use of UHPC in bridge structures has significantly advanced, the same cannot be stated for building structures. Among possible building applications, this study focuses on the use of UHPC in shear walls, where a significant loading demand is anticipated from the lateral loads due to wind and/or earthquake events. Upon validating a set of finite‐element models with the experimental test results, a holistic investigation has been performed in the current study to evaluate a variety of UHPC shear walls. In particular, the main structural response measures, including initial stiffness, force‐displacement relationship, and strength loss under cyclic lateral loads, have been extracted and compared. The study has been then extended to systematically investigate the effects of key design variables, such as wall thickness, aspect ratio, axial force, steel reinforcement, presence of boundary elements, and strength of embedded steel bars. The outcome of this study provides the building sector with firsthand information regarding the possibility of replacing NSC with UHPC in shear walls. This will be an important step forward to improve the safety and performance of building structures, especially where they are exposed to a high risk of wind and/or earthquake hazards.