On your missions you might run into Exploding Walkers. These are former soldiers that carry explosives on their belts and are marked by a grenade icon.
Shooting these walkers causes a big explosion damaging everyone (both walkers and survivors) within the radius, even through walls.
Explosions have a chance to ignite any surviving walkers in the range and make them burning walkers. Other exploding walkers in the radius explode in a chain reaction.

Notice that explosions also cause threat so be careful whether you trigger an explosion in Overwatch or not.