The inherent contradiction between the energy density and safety of energetic materials (EMs) is very challenging. To solve this problem, cocrystallization technology has been usually used in the field of EMs to better balance the energy and safety. The preparation techniques of energetic cocrystals mainly include solvent evaporation, solvent/nonsolvent, and grinding methods. The cocrystals prepared by these methods have structures completely different from the starting crystals. The comprehensive performance of energetic cocrystals (ECCs), such as density, solubility, sensitivity, and thermal stability, is significantly improved. This review summaries the preparation methods of ECCs and their fundamental formation mechanisms, where the HMX-based and CL-20-based ECCs are selected as typical examples. Their structures, sensitivity, thermodynamic characteristics, and detonation parameters are summarized and compared in detail. Finally, future research directions and challenges of ECCs are proposed based on this literature survey.