A house in Adelaide's west has been damaged after an explosive device was set off in the front yard.

Police were called to the Henley Beach Esplanade property about 4:15am.

The occupants of the house were inside at the time of the explosion but no-one was injured.

Police said the front windows of the house were damaged in the explosion.

Initial investigations suggest the incident was not random, police said.

A neighbour said the explosion woke him up, but he did not know what it was at the time.

"I hope everybody is alright," he said.

"Thought maybe [it was] a water heater or something, didn't know it was an explosion, thought it may just be a door blowing closed."

They have urged anyone with any information to contact Crime Stoppers.