The micro-explosion of a water-in-oil compound drop, without emulsification, was investigated experimentally. The compound drop, composed of a water core encased by an n-hexadecane shell, was suspended and heated to micro-explosion. The heating process and the micro-explosion behavior were recorded by a high-speed video system, and the temperature history of the compound drop was measured under three ambient temperatures, namely 320 C, 400 C and 500 C. The behaviors of the micro-explosion were grouped into three modes, namely direct explosion, partial explosion, and swelling, according to the outcomes of micro-explosion recorded by the high-speed video camera. At an ambient temperature of 400 C or 500 C, the micro-explosion onset time was observed to increase with the micro-explosion temperature; but this trend was not as obvious for the ambient temperature of 320 C. The intensity, judged from the production of secondary drops, of the micro-explosion rose as the micro-explosion time lengthened because the accumulation of thermal energy within the oversaturated water core drop grew to a higher extent.