Ultra-high performance concrete containing rock-rubble (UHPC-RR) exhibits excellent resistance to the combined effects of penetration and explosion from Earth Penetrating Weapons (EPWs), as well as outstanding cost-effectiveness compared to traditional normal strength concrete (NSC). This study investigates the resistance of UHPC-RR with different rock-rubble types under the combined effects of preceding projectile penetration and successive charge explosion of a typical EPW, i.e., small diameter bomb (SDB). Firstly, considering the non-homogeneity of the UHPC-RR target, a three-phase finite element model of the rock-rubble, UHPC matrix, and the interface transition zone was established by adopting the “take-place” method. Secondly, the reliability of the modeling method, material models and parameters, and the penetration algorithm was verified by comparing the predicted penetration depths with test data for 25.3 mm-diameter projectile penetrating UHPC targets containing coarse aggregates. Furthermore, the explosion algorithm was verified by comparing the predicted destruction depth with test data from prefabricated hole charge explosion tests of the 120 MPa targets. Finally, quantitative comparisons of the penetration depths and total destruction depths of UHPC containing corundum rubble (UHPC-CR), basalt rubble (UHPC-BR), and granite rubble (UHPC-GR) against the combined effects of the SDB were conducted. The results show that the finite element analysis approach accurately predicts the damage caused by EPW penetration and explosion. The penetration depth of UHPC-CR is reduced by 22.0% and 24.0% compared to UHPC-BR and UHPC-GR, respectively. The total destruction depth of the UHPC-CR target is reduced by 22.6% and 24.0% compared to the UHPC-BR and UHPC-GR targets, respectively.