A series of air explosion experiments were carried out on the 3D polyurea-coated auxetic lattice sandwich panels in order to combine the advantages of auxetic materials and polyurea. The deformation, dynamic strain, and acceleration of the front and back plate were obtained. The results show that the dynamic response of the 3D polyurea-coated auxetic lattice sandwich panel could be divided into four stages: the shock wave action stage, the auxetic effect stage, the overall deformation stage, and the oscillation stage. The “N” type displacement time history of the back plate center due to the auxetic effect is found through the experiments. It is also found that the concave “hat-shaped” deformation mode of the back plate is opposite to the impact direction. This anomalous deformation mode is of great significance for impact protection. Finally, three dynamic response mode of the 3D polyurea-coated auxetic lattice sandwich panel subjected to air explosion is revealed. This study could provide a reference for the shock resistance design of structures.