Z, link below shows what Dr. Burry did. No, he did not buy any bonds. He bought "insurance" in case they defaulted.. which they did.
And in the case of The Big Short, these savvy investors bought just the insurance contract (the CDS) without owning the flawed CDOs they were meant to insure against. In other words, they bought only the insurance that the mortgages would fail without ever owning the mortgage securities or the CDOs themselves. Some have compared this to owning theft insurance on someone else’s home in which you only get paid if they get robbed.