In this study, a gas-in-oil compound-drop stream was produced by the breaking up of an oil jet with gas core, and its burning characteristics were observed. The compound jet broke up into stable compound drops if the spacing between bubbles was greater than the circumference of the compound jet. The outer diameter of the compound drops was about 1.8 times of the inner diameter of the outer tube and the ratios of inner to outer diameters of the compound drop depended only on the gas-to-liquid velocity ratios. After entering a high-temperature environment, the gas-in-oil compound drop exploded shortly due to the rupture of the oil shell. The gas core was released immediately and formed a microfuel jet. The burning of a gas-in-oil compound drop could be separated into two stages: explosion of the compound drop and burning of the remaining single-phase drop. The explosion intensity is relatively weaker compared with the microexplosion of an emulsion drop or a liquid-in-liquid compound drop.