Constructing ingenious microstructures, such as core–shell, laminate, microcapsule and porous microstructures, is an efficient strategy for tuning the combustion behaviors and thermal stability of energetic materials (EMs). Electrohydrodynamic atomization (EHDA), which includes electrospray and electrospinning, is a facile and versatile technique that can be used to process bulk materials into particles, fibers, films and three-dimensional (3D) structures with nanoscale feature sizes. However, the application of EHDA in preparing EMs is still in its initial development. This review summarizes the progress of research on EMs prepared by EHDA over the last decade. The morphology and internal structure of the produced materials can be easily altered by varying the operation and precursor parameters. The prepared EMs composed of zero-dimensional (0D) particles, one-dimensional (1D) fibers and two-dimensional (2D) films possess precise microstructures with large surface areas, uniformly dispersed components and narrow size distributions and show superior energy release rates and combustion performances. We also explore the reasons why the fabrication of 3D EM structures by EHDA is still lacking. Finally, we discuss development challenges that impede this field from moving out of the laboratory and into practical application.