Abstract: Blast waves and high-velocity fragments generated by warhead detonation cause combined damage to masonry walls, including global deformation and local failure, with evident temporal and coupling effects. To investigate the damage evolution and failure mode transition of masonry walls under combined blast wave and fragment loading, damage tests of masonry walls subjected to fragment warheads at different stand-off distances were conducted. A coupled fragment warhead–masonry wall model was established using LS-DYNA and validated against experimental results. The effects of blast wave–fragment arrival sequence on wall damage and failure mode transition were further analyzed. The results show that the arrival sequence changes from blast-wave-first to simultaneous arrival and finally to fragment-first with increasing stand-off distance. The failure mode transitions from blast-wave-dominated global failure to combined-loading-induced perforation failure and finally to fragment-dominated local perforation failure. The temporal coupling between blast waves and fragments produces a significant synergistic amplification effect, resulting in more severe dynamic responses and damage than the superposition of individual loading effects.