The Octogen (HMX) and other energetic materials, such as Hexogen (RDX), Trinitrotoluene (TNT), Nitroguanidine (NQ), Polybutylene terephthalate Glycol Ester (PBT), Toluene Diisocyanate (TDI), and Hydroxy‐Terminated Polybutadiene (HTPB) were subjected to linear heating tests by a Microcalorimeter (C600), to obtain thermal decomposition curves. Based on this data, the thermal stability was studied experimentally and theoretically. The decomposition peak and melting peak of RDX were coupled, and the time to reach the maximum weight loss increased with the increase of heating rates. Within a certain experimental error range, the apparent activation energy calculated by different methods was basically consistent in a larger conversion rate range. The thermal stability of other energetic materials, such as RDX, TNT, NQ, PBT, TDI and HTPB in the mixed system of HMX were explored. The results revealed that HMX had salient thermal stability with RDX, PBT and TDI. However, the thermal stability of HMX mixed with TNT, NQ, HTPB and other substances was poor, which promoted the thermal decomposition of each other, resulting in the decrease of thermal decomposition temperature and further decrease of thermal safety of the mixed system. Therefore, HMX should not be placed in the same place as TNT, NQ and HTPB in the actual application process.