Safety concerns remain a bottleneck for the application of 2,4,6,8,10,12-hexanitro- 2,4,6,8,10,12-hexaazaisowurtzitane (CL-20)/1,3,5,7-tetranitro-1,3,5,7-tetrazacyclooctane (HMX) cocrystal. Melamine–formaldehyde (MF) resin was chosen to fabricate CL-20/HMX cocrystal-based core–shell composites (CH@MF composites) via a facile in situ polymerization method. The resulted CH@MF composites were comprehensively characterized, and a compact core–shell structure was confirmed. The effects of the shell content on the properties of the composites were explored as well. As a result, we found that, except for CH@MF–2 with a 1% shell content, the increase in shell content led to a rougher surface morphology and more close-packed structure. The thermal decomposition peak temperature improved by 5.3 °C for the cocrystal enabled in 1.0 wt% MF resin. Regarding the sensitivity, the CH@MF composites exhibited a significantly reduced impact and friction sensitivity with negligible energy loss compared with the raw cocrystal and physical mixtures due to the cushioning and insulation effects of the MF coating. The formation mechanism of the core–shell micro-composites was further clarified. Overall, this work provides a green, facile and industrially potential strategy for the desensitization of energetic cocrystals. The CH@MF composites with high thermal stability and low sensitivity are promising to be applied in propellants and polymer-bonded explosive (PBX) formulations.