The Supercritical CO₂ anti-solvent method (SAS) was used to prepare ultrafine CL-20 using Ethyl acetate as solvent and PEG-200 as surfactant. At 50 ℃, 12 MPa and mass concentration of 5%, the ultrafine CL-20 was obtained. The sample was characterized by SEM, FIRT, TGA, DSC. Result shows the surface of particles is smooth and the average particle size is 1.33 μm with good particle size distribution. And the process of CL-20 crystal formation in SAS was analyzed.