Composites of 1,3,5,7-tetranitro-1,3,5,7-tetrazocane/reduced graphene oxide/graphite (HMX/rGO/G) were successfully prepared via an in situ chemical reduction coating method. The morphology, composition and thermal decomposition characteristic of the composites were analyzed by field-emission scanning electron microscopy (FE-SEM), X-ray photoelectron spectroscopy (XPS), X-ray diffraction (XRD), Raman spectroscopy and differential thermal analysis (DTA). rGO together with G exhibited a better desensitizing effect than fullerene and carbon nanotubes. When 1.0 wt% GO and 1.0 wt% G were added as desensitizing materials, the impact sensitivity of raw HMX decreased from 100% to 8% and the friction sensitivity decreased from 100% to 0% after in situ chemical reduction coating. Meanwhile, DTA results indicated that rGO and G were compatible with HMX. These combined properties suggest that rGO sheets along with graphite can be utilized as co-desensitizers in HMX explosives.