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Primordial Black Holes~(PBHs) are hypothetical black holes with a wide range of masses that formed in the early universe. As a result, they may play an important cosmological role and provide a unique probe of the early universe. A PBH with an initial mass of approximately $10^{15}$~g is expected to explode today in a final burst of Hawking radiation. In this work, we conduct an all-sky search for individual PBH burst events using the data collected from March 2021 to July 2024 by the Water Cherenkov Detector Array of the Large High Altitude Air Shower Observatory (LHAASO). Three PBH burst durations, 10~s, 20~s, and 100~s, are searched, with no significant PBH bursts observed. The upper limit on the local PBH burst rate density is set to be as low as 181~pc$^{-3}$~yr$^{-1}$ at 99$\%$ confidence level, representing the most stringent limit achieved to date.