This really depends on a few factors.

How old is the gun? - Older firearms are made of older metal. This is a double whammy. First of all, we have come a long way in the manufacturing of firearms. Metals have gotten much stronger than they used to be. And, gun designs have gotten much better/safer. Secondly, older ammunition used gun powder that was corrosive to the barrel of the gun.

Some older ammunition left a residue of corrosive salts in the barrel. If the gun was not properly cleaned after being used, this could cause the barrel to oxidize and weaken over time.

Some very old ammunition contained fulminate of mercury, which would eat away at the barrel. Even if it was cleaned after each use, firing enough rounds through the barrel would eventually cause pitting which would weaken the barrel.

How well maintained is the gun? - A poorly maintained gun is more likely to have issues with firing. This can lead to obstructions in the barrel which can lead to bad times.

A poorly cleaned firearm can corrode over time even if corrosive ammunition was not used. Rust is not your friend.

Also, see above. If an older firearm was poorly maintained, and was used to fire corrosive ammo, then it is likely to have a weakened barrel.

What kind of ammunition are you using? - As I have mentioned above, older ammunition can cause corrosion of the barrel, which can weaken it. But, there are other issues with ammunition that can cause problems.

Some older military rounds used a tin coating that, inadvertently, caused the bullet to stick to the casing. This made it harder for them to leave the case during firing - putting increased pressure on the chamber. This could cause a gun to explode.

Using ammunition that is not correct for your firearm can be dangerous. Some people choose to fire +P ammunition. This is loaded with a little bit more powder in order to increase the velocity of the round. This is perfectly fine for some weapons. However, some firearms (especially lower end ones) can not handle the extra pressure created during firing. Over time, this could lead to a rupture of the barrel.

.357 magnum ammunition will fit into a .38 special. But, that does not mean that it is safe to do that. There are other examples of ammunition that appears to be interchangeable. However, any time that you fire a round that the gun was not designed for, you are taking a risk. A .357 round might fire just fine from your .38 Special… But, why risk it.

All in all, there are lots of things that can affect how likely it is that a gun might explode during use. This is not an exhaustive list. However, when using a properly maintained modern firearm with modern factory ammunition, the chance of it exploding on you is pretty low. On top of that, the chances of acquiring serious injury from such an event are even lower. Most people who experience a firearms explosion walk away with minor burns, some bruising, and maybe a splinter or two.

So, don’t be afraid of guns… It is people that you have to watch our for.