The wet composite gel of RDX/B/Fe₂O₃ was prepared by adding RDX and B powder into the gel template of Fe₂O₃ which was prepared by sol-gel process. And then it was dried by supercritical CO₂ fluid drying technology to get RDX/B/Fe₂O₃ Nano-composite energetic material. The factors influencing the gel structure and particle size during both the preparation and drying processes of wet gel were investigated. And the optimum condition is as follows: the concentration of Fe³⁺ 0.20 mol·L^-1, n(Fe³⁺):n(C₃H₆O)=1:15, the temperature of the supercritical CO₂ 40 ℃, the pressure of the supercritical CO₂ 10 MPa, the flow rate of CO₂ 15 L·h^-1 when the drying kettle is pressurized and flow rate of CO₂ was 12 L·h^-1 when the drying kettle is pressure balance. Under this condition, the nano-composite energetic material of RDX/B/Fe₂O₃ (mass ratio 90:2:8) was prepared. Scanning electron microscope and differential scanning calorimetry analysis were employed to characterize its microstructure and thermal reactions. Meanwhile, its mechanical sensitivity was measured. Results show that the particle size of nano-composite energetic material was 30-50 nm. Compared with the raw RDX, the thermal decomposition onset point of RDX/B/Fe₂O₃ increases by 7 ℃, the reaction heat improves by 885 J·g^-1 and H₅₀ is 40.8 cm.