Ammonium nitrate–fuel oil (ANFO) explosives are inexpensive and readily produced, but are highly prone to misfires, with the remaining explosive being a significant risk and environmental contaminant. In this work, studies on various additives, such as selected perchlorates and inorganic peroxides, which are intended to lower the susceptibility of ANFO to misfires by increasing its sensitivity to shock, have been conducted. These studies showed the viability of using these additives in ANFO, allowing for conducting shock wave sensitivity tests for bulk charges in the future. We investigated the effects of introducing these additives into ANFO (on its sensitivity), as well as thermal and energetic properties. We observed minor increases in friction and impact sensitivity, as well as a moderate reduction in the decomposition temperature of the additive-supplemented ANFO in comparison to unmodified ANFO.