A Sydney family is lucky to have returned home from a weekend at Anna Bay in one piece after unknowingly playing a risky game of fetch with their dogs.

Dennis Spring and his daughters, Mischa, 17, and Shenandoah, 12, were exploring the Birubi sand dunes on Saturday afternoon when their dogs Peppah, a white female staffy, and Brixton, a brindle-coloured male staffy, began playing fetch with what looked like an old car part.

White staffy Peppah with the unexploded WWII ordinance she found in sand dunes at Anna Bay on Saturday. Credit:Dennis Spring

It turned out, however, to be an unexploded WWII mortar.

"Peppah is obsessed with playing fetch but we didn't take [anything] with us into the dunes," Mr Spring, from Castle Hill, said.