The spherical superfine CL-20 were prepared using a physical grinding machine with three kinds of grinding balls, and the mechanism of the machine was introduced. The effects of the density of grinding balls and grinding time on the physical structures such as average particle size, particle size distribution and roundness and mechanical sensitivity of superfine CL-20 were studied. Results show the superfine CL-20 particles obtained with low-density grinding balls are spherical, and its mechanical sensitivity is significantly reduced, and its thermal stability is better than raw CL-20, and the polymorph remains ε-type. The high-density grinding balls can refine the materials well, while the smoothing effect of low-density grinding balls is better, and the particle-size distribution of superfine CL-20 is uniform and concentrated with roundness up to 0.9.