A method of producing water-in-oil emulsion explosive by carrying out emulsification and kneading of a raw material mixture in one step is disclosed. In the method, hollow microspheres and a mixture of an aqueous solution of inorganic oxidizer, an oil and an emulsifier are separately supplied into a common passage of an emulsifying and kneading machine; the hollow microspheres and the mixture are emulsified and kneaded on the surface of a disc arranged on the downstream side of the disc, while rotating the disc; the emulsified and kneaded mixture is flowed down from the outer peripheral portion of the disc into a kneading room formed under the disc, while continuing the emulsification and kneading; the emulsified and kneaded mixture is fully emulsified and kneaded in the kneading room; and then the resulting water-in-oil emulsion explosive is taken out from the kneading room. The method is shorter and simpler in the production step, is more effective for energy saving, is higher in the safeness in the process control and is more practicable than conventional methods.