The demand for sustainable construction materials has promoted the incorporation of industrial by-products and chemical admixtures in concrete. This study evaluated the mechanical performance of self-curing concrete produced by partially replacing fine aggregate with copper slag and incorporating Polyethylene Glycol (PEG 400) as an internal curing agent. Concrete mixtures were prepared with copper slag replacement levels ranging from 0–60% and PEG 400 dosages of 0%–2.0% by weight of cement. Compressive, split tensile, and flexural strengths were determined to assess mechanical behavior. Results showed that concrete containing 40% copper slag and 1.5% PEG 400 achieved the highest strength performance among the mixtures tested. Compared with the control mix, this combination produced notable improvements in compressive, tensile, and flexural strengths. The strength enhancement was attributed to improved particle packing due to the angular and dense nature of copper slag and to effective internal moisture retention provided by PEG 400, which reduced self-desiccation and enhanced cement hydration. The findings demonstrate that the combined use of copper slag and PEG 400 improves mechanical properties while reducing natural sand consumption and external curing demand, supporting sustainable and resource-efficient concrete production.