Shallow underwater environments around the world are contaminated with unexploded ordnances (UXOs). Current state-of-the-art methods for UXO detection and localization use remote sensing systems. Furthermore, human divers are often tasked with confirming UXO existence and retrieval which poses health and safety hazards. In this paper, we describe the application of a crab robot with leg-embedded Hall effect-based sensors to detect and distinguish between UXOs and non-magnetic objects partially buried in sand. The sensors consist of Hall-effect magnetometers and permanent magnets embedded in load bearing compliant segments. The magnetometers are sensitive to magnetic objects in close proximity to the legs and their movement relative to embedded magnets, allowing for both proximity and force-related feedback in dynamically obtained measurements. A dataset of three-axis measurements is collected as the robot steps near and over different UXOs and UXO-like objects, and a convolutional neural network is trained on time domain inputs and evaluated by 5-fold cross validation. Additionally, we propose a novel method for interpreting the importance of measurements in the time domain for the trained classifier. The results demonstrate the potential for accurate and efficient UXO and non-UXO discrimination in the field.