Explosive spalling is a severe risk for ultra-high performance concrete (UHPC) structures exposed to fire, fundamentally obstructing the comprehensive study of fire safety and the extensive engineering application of UHPC. In contrast to previous studies on the optimisation of components and mixture properties, this paper proposes a new curing regime, two-stage hot air curing (THAC), to inhibit the explosive spalling of UHPC in a high stress state and under an extreme heating rate. Two hundred and twenty-eight UHPC cubes with variations in parameters such as curing regime, fibre type, and water-binder ratio were tested under the ISO 834 fire standard. The influence of THAC on the mechanical properties and explosive spalling of the samples was investigated, and scanning electron microscopy (SEM) was utilised to observe the microstructures of the tested cubes. On this basis, twelve full-scale UHPC beams with various curing regimes and load ratios were tested under thermal–mechanical coupling conditions. The explosive spalling behaviour of the beams was observed, and the influence of spalling on the fire resistance was analysed. The test results indicated that UHPC formed a dense microstructure during the first stage of 50 °C curing. With hot air curing at 150 °C, further hydration and pozzolanic reaction of residual cement and mineral admixtures could be activated, generating massive calcium-silica-hydrate (C-S-H) gels. Moreover, almost all the free water could be consumed and evaporated after THAC curing, dramatically improving the explosive spalling resistance of UHPC. THAC could completely prevent the fire-induced explosive spalling of UHPC of different sizes and with varying stress states and improve the mechanical properties. This occurred despite conventional curing such as standard curing, water curing, and steam curing potentially leading to more serious spalling and a significant reduction in fire resistance, even possibly affecting the failure mode of UHPC beams.