2,4,6,8,10,12-Hexanitro-2,4,6,8,10,12-hexaazaisowurtzitane (CL-20) and pentaerythritol tetranitrate (PETN), with mean sizes of 73.8 nm and 267.7 nm, respectively, were fabricated on a high-energy ball-mill. Scanning electron microscope (SEM) analysis was used to image the micron-scale morphology of nano-explosives, and the particle size distribution was calculated using the statistics of individual particle sizes obtained from the SEM images. Analyses, such as X-ray diffractometer (XRD), infrared spectroscopy (IR), and X-ray photoelectron spectroscopy (XPS), were also used to confirm whether the crystal phase, molecular structure, and surface elements changed after a long-term milling process. The results were as expected. Thermal analysis was performed at different heating rates. Parameters, such as the activation energy (ES), activation enthalpy (ΔH≠), activation free energy (ΔG≠), activation entropy (ΔS≠), and critical temperature of thermal explosion (Tb), were calculated to determine the decomposition courses of the explosives. Moreover, the thermal decomposition mechanisms of nano CL-20 and nano PETN were investigated using thermal-infrared spectrometry online (DSC-IR) analysis, by which their gas products were also detected. The results indicated that nano CL-20 decomposed to CO2 and N2O and that nano PETN decayed to NO2, which implied a remarkable difference between the decomposition mechanisms of the two explosives. In addition, the mechanical sensitivities of CL-20 and PETN were tested, and the results revealed that nano-explosives were more insensitive than raw ones, and the possible mechanism for this was discussed. Thermal sensitivity was also investigated with a 5 s bursting point test, from which the 5 s bursting point (T5s) and the activation of the deflagration were obtained.