Composite explosives are the final energy source of energetic materials in realizing damage effect of weapons. In this paper, we briefly reviewed the recent advances and development trends in research of composite explosives, the advances of composite explosives aimed at higher energy are elaborated by the application of novel high explosives, energetic binders and plasticizers, and highly active metals, and then those formulations aimed at low sensitivity are introduced by the application of energetic materials inherent with low sensitivity, efficient desensitization technology, materials and microstructures for the resistance of stress and thermal environment. The composition, characteristics and application of typical explosive formulations are summarized based on different functions design. Finally, we proposed that the development directions of composite explosives in the future are pursuing higher energy, to be more insensitive, enhanced environmental adaptability, green explosives and improved theoretical design.