A drop of water that freezes from the outside in presents an intriguing problem: the expansion of water upon freezing is incompatible with the self-confinement by a rigid ice shell. Using high-speed imaging we show that this conundrum is resolved through an intermittent fracturing of the brittle ice shell and cavitation in the enclosed liquid, culminating in an explosion of the partially frozen droplet. We propose a basic model to elucidate the interplay between a steady buildup of stresses and their fast release. The model reveals that for millimetric droplets the fragment velocities upon explosion are independent of the droplet size and only depend on material properties (such as the tensile stress of the ice and the bulk modulus of water). For small (submillimetric) droplets, on the other hand, surface tension starts to play a role. In this regime we predict that water droplets with radii below 50μm are unlikely to explode at all. We expect our findings to be relevant in the modeling of freezing cloud and rain droplets.