The underwater explosion bubble accounts for half of the total explosive energy and has been found to induce serious structural damage to ship structures. However, the existing research has commonly ignored the damage effect of an underwater explosion bubble on a concrete gravity dam. The current study aims to narrow this gap through high-fidelity numerical simulations and scale model tests. A fully-coupled numerical model is established first and is validated by small-scale centrifugal model tests. The bubble dynamics of underwater explosions near the perpendicular dam structure have been explored. The main focus is then on the sequential damage effects of the underwater explosion shock wave, bubble pulse, bubble jet, and bubble collapse on a concrete gravity dam. It is found that the shock wave causes a first attack, inducing tensile cracks in the vulnerable part of the dam. Subsequently, the bubble pulse generates a secondary attack, facilitating the penetration of the tensile crack throughout the entire dam structure. Additionally, the bubble jet driving the high-speed fluid flow and the bubble collapse causing the uplifted free water surface, united with the upstream reservoir water with huge hydrostatic pressure, largely accelerate the fracture of the dam, then facilitate the fractured dam to fall downstream leaving a breach with certain widths in the dam’s upper part, and finally speed up the discharge of the upstream reservoir water through the breach. It also finds that the underwater explosion bubble can generate no new cracks in the gravity dam, even in the pre-damaged area as long as there are no obvious pre-cracks by the shock wave. That is, the shock wave is the key trigger for dam failure, without which the dam failure will not happen, while the bubble, united with the upstream reservoir water, accelerates the process of dam failure.