Curiously, it is exactly the opposite in many video games. In video games water often protects you from the explosion. I wonder, where did this trope came from...
The torpedo defense systems in the most advanced WWII battleships & carriers were about 5 layers thick: sea (may contain enemy mines & torpedoes) | empty compartment (air gap) | ballast/fuel tank | air gap | ballast/fuel tank | yet another air gap | important stuff (engine rooms, powder magazines, whatever)
And to be reasonably effective, each air & fluid layer needs a certain thickness - which scales roughly with the size of the explosive charge.
My guess is water protects from nuclear radiation and they get confused. Anyone else want to guess where the trope came from?
If you're outside the water, the density difference between air and water acts to diffuse the shockwave.
Water is a really good absorbent of explosive energy (as long as you're not also in the same water).