Since the energetic material 1,3,5,7-tetranitro-1,3,5,7-tetraazacyclooctane (HMX) has potential safety hazards during its application, it was chosen to solve this problem by coating the surface of HMX through the self-polymerization reaction of methyl methacrylate (MMA). However, its mechanical properties were poor for further application, so graphene oxide (GO), hydroxylated graphene (GO-OH), and reduced graphene oxide (rGO) were chosen to be doped into PMMA for coating modification. The properties were also investigated. The composite microspheres were regular in shape. Furthermore, it was observed that graphene materials were present on the surface of the microspheres, and no crystal transformation of HMX occurred during the process. The thermal stability of the composite microspheres was improved, and the activation energies of the HMX/PMMA/GO, HMX/PMMA/rGO and HMX/PMMA/GO-OH composite microspheres were increased compared with those of the HMX/PMMA microspheres. At the same time, the high-energy dropout characteristics of the composite microspheres were improved, and the impact sensitivity of all microspheres was reduced, compared with that of the HMX/PMMA microspheres. The compressive strength of pillars pressed with composite microspheres increased by 1.91, 0.92 and 3.13 MPa, respectively. The mechanical properties of the composite microspheres were improved. As a result, HMX/PMMA composite microspheres have better properties.