There exists significant contrasts in the shock wave propagation characteristics and the subsequent response of structures under water and air explosions due to their different physical properties and interface phenomena. A fully coupled numerical simulation model for concrete gravity dams subjected to underwater and air explosions is performed. The model incorporates the essential explosion process, namely the charge detonation, shock wave propagation, shock wave-structure interaction and structural response. The shock wave propagation characteristics from free-field explosions in water and air are compared. The dynamic response and failure modes of the dam in a typical underwater and air explosion scenario are also investigated. The results show that the dynamic response and damage level of concrete gravity dams from underwater explosion is significantly higher than that from air blast with the same mass of charge. Hence, more attention should be paid to the shock wave propagation characteristics from underwater explosion and the subsequent response of dam structures.