In this study, an Al/Co@RDX composite was meticulously prepared through a combination of planetary high-energy ball-milling and a spray-drying technique. The thermal reactivity of these Al/Co@RDX composites was comprehensively investigated and compared using the TG/DSC technique. It is shown that the initial decomposition temperature of RDX in the DSC curve was decreased by 26.3 °C in the presence of Al/Co, which could be attributed to the nano-sized Co transition metal catalyzing the decomposition reaction of nitrogen oxides in RDX decomposition products. The decomposition peak temperature of RDX and the heat released by the thermal decomposition of RDX in the Al/Co@RDX composite were decreased by 26.3 °C and increased by 74.5 J·g−1, respectively, in comparison with those of pure RDX. The types of major gaseous products released from Al/Co@RDX were found to be identical to those of pure RDX, encompassing N2O, CH2O, CO2 and HCN. However, the concentrations of those gaseous products for Al/Co@RDX were higher than those observed for pure RDX, which may owe to the fact that the Al/Co composite can interact with the –CH2 and –NO2 within RDX molecules, which leads to the weakening of the C-N and N-N bonds. In addition, the decomposition of RDX in the Al/Co@RDX composite was observed as a one-step process with an apparent activation energy (Ea) of 115.6 kJ·cm−3. The decomposition mechanism of the RDX in the Al/Co@RDX composite was identified to follow the chain scission model (L2), whereas the two-step decomposition physical models observed for pure RDX were found to closely resemble the L2 and autocatalytic models.