Fluid-filled double cylindrical shells were widely used in the marine engineering field and their blast resistance was considerably concerned. In this paper, the dynamic behaviors of fluid-filled double cylindrical shells subjected to underwater explosion were studied through a combination of experimental and numerical methods. First, a series of comparative underwater explosion tests were carried out on the scaled empty and fluid-filled double cylindrical shells. Then, more detailed numerical simulations were developed to give more results, and the model was verified by comparing with the data gathered from tests. Based on the experimental and numerical results, the effects of internal fluid on the shock wave propagation process, deformation modes, dynamic response, and energy characteristics of structures were analyzed. It is shown that the internal fluid is helpful to resist the structural deformation of outer shell and significantly decreased the axial strains of inner shell. Meanwhile, the dynamic response of the inner shell of fluid-filled shells was more violent. Besides, the internal and kinetic energy of outer shell decreased markedly. Above results would provide a reference for the protection of fluid-filled structures.