This paper presents an experimental investigation into the failure mechanisms of sandwich panels with multi-layered aluminum foam/UHMWPE laminate cores under combined blast and fragments loading. The combined loading was generated by detonating a cylindrical TNT charge whose bottom face was attached with prefabricated fragments. Attention focused on the effects of UHMWPE laminate location, foam core gradation and refractory interlayer on the dynamic responses of the panels. Multiple failure patterns were observed on the panel components, including the perforations of front face, petalling or cracking of back face, plugging of foam core, scorching, fiber fracture and delamination of UHMWPE laminate, and debonding failure of adhesive. Results indicated that introducing the UHMWPE laminate was beneficial to alleviating the damage state of back face. The foam layers with graded density could further decrease the back face deflection, while the incorporation of a ceramic fiber felt would deteriorate the back face damage. As expected, the sandwich panels suffered much more destructive damage under combined loading than the ones under bare blast loading. The core configuration with the UHMWPE laminate located at the bottom layer was favored by the panels to possess a desirable capacity of comprehensive protection under combined loading and bare blast loading.