A pressing issue for reinforced concrete walls, which are commonly used as building structures, is how the fragments and shock waves generated by the explosion of a cased charge affect the concrete structure. In this paper, the damage modes of reinforced concrete walls (RC walls) and reinforced concrete-steel composite walls (RCS walls) under the combined loading of fragments and shock waves are investigated by experimental methods, and the effects of wall thickness, strength, stand-off distance, and thickness of the steel plate on the back on the damage modes of the walls are discussed. Based on the experimental data, the damage modes of the walls were classified into three classes. In comparison, the installation of steel plates on the back of concrete walls was found to be a significant means of protection, effectively preventing the penetration of metal fragments and the splashing of concrete fragments.