Two kinds of RDX samples, with broad and narrow particle size distribution, have been fabricated by wet riddling and solvent/non-solvent methods, respectively. By controlling the technical condition, the RDX powders with different particle sizes were obtained for each sample. All samples were characterised by laser granularity measurement and scanning electron microscope (SEM). Using mechanical sensitivity tests, slow cook-off test and differential scanning calorimetry (DSC), the mechanical safety and thermal stability of RDX samples, depending on the particle sizes and size distribution, were studied. Results indicated that, for each kind of RDX particles, the mechanical sensitivity and thermal stability of samples changed according to the particle size. However, although two samples had almost the same average particle size, their safety changed when two particle size distributions differed. Concretely, the mechanical sensitivity of RDX reduced and their thermal stability increased gradually along with the decreasing of particle size. Meanwhile, RDX with broad size distribution had higher mechanical sensitivity and thermal stability than samples with narrow size distribution.