A novel self-assembly approach was employed to produce micro-spherical composite energetic material (EM) comprising 2,4,6,8,10,12-Hexanitro-2,4,6,8,10,12-hexaazaisowurtzitane/nitrocellulose (CL-20/NC) via the spray-drying method, with precise control over parameters such as droplet diameter, ambient temperature, and nozzle injection rate. In this method, NC was utilized as a coating for CL-20 to imbue it with distinct spatial characteristics, thereby mitigating its high sensitivity. Scanning electron microscopy (SEM) and X-ray diffraction (XRD) analyses were conducted to investigate the morphology of the CL-20/NC micro-spheres. Additionally, differential scanning calorimetry (DSC) was employed to study the thermal decomposition kinetics of both CL-20 and CL-20/NC. XRD findings revealed that the crystal structure of CL-20/NC micro-spheres prepared using acetone as the solvent remained unchanged, albeit with noticeable attenuation in diffraction peaks. DSC analysis indicated an increase of 4.87 K and 7.64 K in the thermal explosion critical temperature (Tb) and peak temperature (Te) of CL-20, respectively. Furthermore, the apparent activation energy was enhanced by 18.65 kJ·mol−1, signifying improved thermal stability. SEM analysis confirmed that the micro-spheres’ size ranged from 0.5 μm to 5 μm, displaying a regular spherical shape. Notably, the impact sensitivity (H50) of CL-20/NC tripled compared to raw CL-20.