A water-in-oil emulsion explosive, comprising aqueous inorganic oxidizer solution, oil, emulsifier and hollow microspheres, and having high low-temperature detonability and storage stability can be produced without causing breakage of the hollow microspheres through a specifically limited kneading method, wherein agitating blades fitted to an agitating shaft in a kneader are subjected to up and down movements in the axial directions of the agitating shaft and concurrently to a rotary motion to knead homogeneously a water-in-oil emulsion formed of the aqueous solution of inorganic oxidizer, oil and emulsifier, together with the hollow microspheres.