I answered this exact question once already, so it’s on here somewhere if you rummage around enough.
The player ( usually ) is a skeletal mesh.
The way to do it is
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In the skeletal mesh editor, there’s an option to export as static mesh
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Do this and then use the chaos plugin to convert that mesh into a destructible mesh.
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When the player receives fatal damage, you remove the skeletal mesh and replace it with the destructible mesh, which you can explode.