There exists significant contrast in wave propagation phenomena in the water and the air medium due to their different physical properties and interface phenomena. The fully coupled numerical simulation models for free-field explosions in water and air are established. The shock wave propagation characteristics from explosions in water and air are simulated and compared. At the same time, taking the interaction between the shock wave and the rarefaction wave reflected by the free surface into consideration, the influence of the free surface on the shock wave propagation characteristics is investigated. The results show that the shock wave propagation peak pressures and impulses from underwater explosion are significantly higher than that from air blast. An underwater explosion can cause significantly more damage to the structure. The free surface has significant effects on the shock wave propagation characteristics. The cut-off effect and bulk cavitation phenomenon occur in underwater explosion near a free surface, and the enhancement effect appears in air explosion near a free surface.