Improving the energy density and safety of explosives are crucial for developing composite energetic materials. In this study, a facile and continuous spray drying granulation technique was used to obtain NTO/HMX composite explosives with insensitive NTO as coating material. The micro‐morphology, particle size, crystallographic structure, exothermic decomposition, impact sensitivity, and detonation performance of NTO/HMX composite explosives with different NTO contents were investigated by various experimental methods. The test results indicate that the higher the NTO content, the better the crystal integrity of HMX and the lower the mechanical sensitivity of NTO/HMX composite explosives. When the mass ratio of NTO and HMX is 25 : 75, NTO/HMX composite explosives have a good spherical density structure formed by the aggregation of nanoparticles, small particle sizes with a median size of 1.22 μm, and a uniform distribution of particle sizes in the range of 0.3–2.8 μm. The addition of NTO not only enhances the thermal decomposition of HMX but also significantly decreases mechanical sensitivity. The composite explosives had not altered the raw NTO and HMX crystallographic structures (β‐type). With the same ratio (25 : 75), NTO/HMX composite explosives (25 : 75) possess higher impact energy and friction force, better safety, and better thermal stability than physical mixtures. Additionally, the high‐energy insensitive composite microspheres preserve the important high‐energy properties of HMX while effectively enhancing its safety characteristics, which have the advantages of controllable crystallographic micromorphology, high energy, and excellent impact sensibility and could be broadly applicable in the field of munitions.