When the neutrons hit either of these types of atoms in pellets, the atoms split to release neutrons of their own, along with heat. On average 235U and 239Pu yield two free neutrons. Initial fissioning of 235U produces neutron energies of 2 Mev. To convert to more everyday units, this is equal to approximately 3.2 x 10-11J. These neutrons must be slowed down in order to increase the fission probability in the core of the reactor. The way in which these neutrons slow down is by hitting something that has approximately its own mass.
Water is effective at slowing down neutrons.
Once the neutrons slow down, they go back into Uranium and fission probability increases considerably. Heat is then transferred from the core of the reactor to the water and then induces steam. Sometimes a neutron and proton will combine and produce a deuteron and therefore that neutron is now lost. Companies use heavy water in order to alleviate this dilemma. Some neutrons are captured directly by 235U or 238U and gamma rays are emitted.