The former EastEnders actor was filming a second series of the Sky1 documentary show when he and his crew were fired at in Pakistan.
Kemp was reportedly following a wanted man in Karachi who was being chased by police officers across a roof.
"This particular guy, Uzair Baloch, is wanted by the police," Kemp explained to The Sun.
"We go back to his base... and we get surrounded by police and he is standing there on his roof, going, 'Are they coming this way, are they coming that way?'
"He moves away and I very cleverly stand right where he was standing. I've learnt that lesson now, because a round goes between me and Jonathan, who has been with me in Afghanistan as my cameraman.
The six-part series will air on Sky1 later this year. It will also feature Kemp visiting a Venezuelan prison, where "dead and dying people were all around us in hammocks".
He will also discover the burning of "witches" alive in Kenya and Tanzania.
The first Extreme World series aired in early 2011.