Police Scotland has reassured residents in Edinburgh after hundreds of people reported being woken by the sound of explosions.
However, police said that what people were actually hearing was the phenomenon known as "thundersnow".
Two "extraordinarily loud" thunder claps were heard over the capital just before 05:00.
The snow caused disruption across many areas, including temporarily closing the Queensferry Crossing.
BBC weather forecaster Gemma Plumb said snow had also fallen overnight and on Friday morning across parts of northern and eastern England as well as on the high ground of south west England and Wales.
Further snow was expected to continue falling in the afternoon in northern England and Wales and in parts of the Midlands and Scotland, but would become increasingly confined to higher ground.
There could also be some snow on the high ground of the rest of Wales, south west England and perhaps Northern Ireland in the afternoon, with much of the UK having outbreaks of rain - and potentially sleet or snow on higher ground later on Friday.
And there will be a chance of ice in some areas - particularly in the south east of England.
A number of yellow warnings for ice and snow are in place across large areas of Scotland and Northern Ireland and stretch down into North Yorkshire.
The coldest night of the autumn/winter so far was recorded at Altnaharra in the Highlands, where temperatures dipped to -9.6C (14.72F).
Some residents in Midlothian, including in Penicuik and Loanhead, reported what they thought was a bomb exploding or a building collapse.
The sound, which is created when thunder and lightning combine with a heavy snowstorm, also caused dozens of car alarms to go off.
We have have received a number of calls regarding people concerned about explosions heard. Please do not be alarmed, we are currently experiencing thunder and lightning. 🌩️⚡❄️ pic.twitter.com/YyZ9rbBadr— Police Scotland Control Rooms (@polscotcontrol) December 4, 2020
After receiving a number of calls, Police Scotland took to Twitter to reassure residents that there was no need to be alarmed.
"We have received a number of calls regarding people concerned about explosions heard.
"Please do not be alarmed, we are currently experiencing thunder and lightning," a tweet from their control room said.
Saoirse Morton, 19, in Leith, was up late listening to music when she heard the thundersnow.
"I heard what I thought was an explosion so I started looking for a factory nearby that could have exploded," she said.
"I just sat for 10 seconds in shock before checking on my pets. I was convinced something had exploded. I messaged some friends on Facebook and said something had exploded and they said 'no, no it's thunder and lightning' and started trying to convince me. I took some convincing."
Anne Ash, who lives in Edinburgh, told the BBC the "extremely loud noise" woke her up.
She described it as sounding "a bit like a sonic boom".
"I leapt out of bed and ran to the window and saw it was snowing quite heavily.
"My husband said it was thunder and I was unsure so googled it and learned the term 'thundersnow'.
"A little while later there was a second loud boom which went for a bit longer."
She said the weather later quietened down, and the snow was starting to melt away.
The noise was also heard in Fife, with Leanne Duffy tweeting that it was "crazy" to hear the phenomenon.
The snowfall has also caused issues on the area's roads, with the Queensferry Crossing closed for several hours in both directions on Friday morning because of falling ice and snow. However, it reopened at about 08:30.
Some schools and nurseries have been closed due to the wintry weather.
In the Highlands, 10 primaries, two secondary schools and seven nurseries have been closed for the day, affecting almost 2,000 pupils.
A small number of schools in Aberdeenshire, Moray and Dumfries and Galloway were closed due to the adverse weather.
In the Scottish Borders, schools were open but some bus services were not operating.
ScotRail also warned that train journeys across multiple routes were facing "significant disruption", and asked passengers to check their plans before setting off.
Forecasters have warned that Friday will be a cold and windy day across the UK, with spells of rain, sleet and snow - mainly over the north and east of the country.
In the north east of Scotland, police warned of dangerous driving conditions on the A93 and the B993.
And in Ayrshire, officers urged people to take extra care on the roads because of the snow.
Also in the east of the country, the A70 Lanark Road West, just after Balerno, was closed after an articulated lorry got stuck due to the weather.