Micro-porous combustible composites of NC/TEGN/RDX were fabricated by the extrusion molding process of solvent method and supercritical carbon dioxide（SC-CO₂） foaming technique using nitrocellulose (NC), triethylene glycol dinitrate (TEGN) and cyclotrimethylenetrinitramine (RDX) as energetic matrix, and thermoplastic elastomer-methyl methacrylate (MMA) as binder. Scanning electron microscopy and impact test of simple supported beam were used to investigate the cell morphology and mechanical property of the composite, respectively. Results show that increasing the saturation pressure is beneficial to reducing the pore size and increasing the pore density. With increasing the foaming temperature, the cell size of the composites gradually increases, and the cell density shows a trend of increasing first and then decreasing. When the content of thermoplastic elastomer increases from 5% to 15%, the impact strength can increase by 37.74%. The impact strength of the micro-porous combustible composites of NC/TEGN/RDX increases from 3.21 kJ·m^-2 to 4.31 kJ·m^-2 when the saturation pressure is in the range of 10 MPa to 25 MPa. However, the impact strength gradually decreases with the increase of foaming temperature. Cell size and cell density are important factors affecting the mechanical properties of NC-based energetic micro-porous composites, and the dense and uniform cell structure can effectively improve the mechanical properties.