Pentaerythritol tetranitrate (PETN) was coated by tannic acid (TA), polydopamine (PDA), and melamine-formaldehyde (MF) resins via in situ reaction to prepare PETN@TA, PETN@PDA, and PETN@MF microcapsules for reducing sensitivity and enhancing thermal stability of PETN. The coating effects of TA, PDA, and MF shells on PETN surfaces are characterized by scanning electron microscopy and atomic force microscopy. The structures of PETN@TA, PETN@PDA, and PETN@MF microcapsules are characterized by X-ray photoelectron spectroscopy, X-ray diffraction, and Fourier-transform infrared spectra. The performances of PETN@TA, PETN@PDA, and PETN@MF microcapsules are characterized by differential scanning calorimetry, accelerating rate calorimetry, explosion point, vacuum deflation volume, and mechanical sensitivity. The study results show that TA, PDA, and MF shells can coat the PETN surface well. Compared with pure PETN, the explosion point has an increase while the vacuum deflation volume and mechanical sensitivity have a decrease for PETN@TA, PETN@PDA, and PETN@MF microcapsules, illustrating that the safeties of PETN@TA, PETN@PDA, and PETN@MF microcapsules are enhanced. In addition, the initial decomposition temperature (T 0 ) and peak decomposition temperature (T p ) of PETN@TA, PETN@PDA, and PETN@ MF microcapsules have a slight increase, demonstrating that the thermal stabilities of PETN@TA, PETN@PDA, and PETN@MF microcapsules are better than that of pure PETN. The obtained method can provide some guidance for the desensitizing of other energetic materials with high sensitivities.