Energetic materials, including explosives, pyrotechnics, and propellants, are widely used in mining, demolition, automobile airbags, fireworks, ordnance, and space technology. Nanoenergetic materials (nEMs) have a high reaction rate and high energy density, which are both adjustable to a large extent. Structural control over nEMs to achieve improved performance and multifunctionality leads to a fascinating research area, namely, nanostructured energetic materials. Among them, core–shell structured nEMs have gained considerable attention due to their improved material properties and combined multiple functionalities. Various nEMs with core–shell structures have been developed through diverse synthesis routes, among which core–shell structured nEMs associated with explosives and metastable intermolecular composites (MICs) are extensively studied due to their good tunability and wide applications, as well as excellent energetic (e.g., enhanced heat release and combustion) and/or mechanical properties. Herein, the preparation methods and fundamental properties of the abovementioned kinds of core–shell structured nEMs are summarized and the reasons behind the satisfactory performance clarified, based on which suggestions regarding possible future research directions are proposed.