Stun grenades may include a fuze configured to ignite a delay material secured to a housing including a delay chamber in which the delay material is located. A handle of the fuze may be located over a final payload chamber of the series of payload chambers, payload material in the final payload chamber being configured to ignite after ignition of payload material in each other payload chamber of a series of payload chambers. Methods of assembling stun grenades may involve positioning an obstruction in a port extending between a delay chamber and a payload chamber of a series of payload chambers surrounding the delay chamber in a housing. A delay material may be packed in the delay chamber. The obstruction may be removed, and a payload material may be positioned in the payload chamber and the port.