Yes, some meteoroids do contain water within them. In fact, water is abundant in meteoroids originating from comets. These icy bodies are called carbonaceous chondrites and contain hydrous minerals like phyllosilicates and hydrated carbonates.

When carbonaceous chondrites enter the Earth's atmosphere, their water content can turn into vapor and eventually lead to condensation, thus contributing to Earth's water budget. Meteoroids from near-Earth asteroids may also carry minor amounts of water, but carbonaceous chondrites are generally recognized as a more significant source of extraterrestrial water delivery to Earth.