The researches on nano-energetic materials have become one of the hotspots in the fields of nano-materials and energetic materials as their excellent properties. The common methods to prepare the nano-energetic materials were briefly introduced, the existing self-assembled preparation methods of nano-energetic materials were analyzed and the new ideas to prepare the macromolecular self-assembly nano-energetic materials were proposed. The preparation of nano-materials based on self-assembly of macromolecules and co-assembly of nanoparticles with macromolecule were summarized. The analysis indicates that there are great applied prospect to prepare nano-energetic materials based on macromolecular self-assembly. But it is still in the exploratory stage and need further research both theoretically and experimentally in the future.