In this study, an explicit non-linear analysis program of LS-DYNA was employed to simulate a concrete gravity dam with either normal or empty reservoir under contact explosion. Considering the effect of high strain rate of concrete under the contact explosion, HJC (Holmquist-Johnson-Cook) constitutive model was adopted to simulate the damage characteristic and plastic deformation of the dam. Firstly, “Explosive-Air-Water-Concrete Test Cube” model was constructed and verified. “Explosive-Air-Water Storage-Dam-Foundation” dynamic full coupled model was then developed to evaluate the dynamic response and damage characteristic of the concrete gravity dam under the contact explosion denoted by TNT explosive on both normal water level dam and empty dam. The test shows that the analytical method is reliable to study the contact explosion of the concrete gravity dams, and it also covers the shortage of experimental study. In the case of the normal water level, the dynamic response and the damage of the dam are greatly affected by the explosion points in upstream. Therefore, the study of anti-explosion properties for the concrete gravity dam should focus on the damage measurement when the explosion points are disposed in upstream under the normal water level.