Ultrafine hexanitrohexaazaisowurtzitane/cyclotetramethylene tetranitramine(CL-20/HMX)cocrystal explosive was prepared by ultra-highly efficient mixing method. X-ray diffraction and differential scanning calorimetry were utilized to determine whether the cocrystal explosive was prepared. The crystal morphology, particle size, sensitivity of cocrystal explosive were characterized. The prepared samples were regular block-like ultrafine CL-20/HMX cocrystal explosives with uniform particle size of less than 1 μm, which appeared new stronger diffraction peaks at 11.558°, 13.264°, 18.601°, 24.474°, 33.785°, 36.269°. The purity of the CL-20/HMX cocrystal explosive was 92.6%. The thermal decomposition process of cocrystal explosives had only one exothermic decomposition stage with peak temperatures of 248.3 ℃. The enthalpy for the exothermic decomposition of the cocrystal (2912.1 J·g^-1) was remarkable higher than that of the physical mixture of CL-20 and HMX (1327.3 J·g^-1). According to GJB772A-1997《The explosive test method》, the friction sensitivity of CL-20/HMX cocrystal explosive was 84%, which was decreased by 16% compared with original CL-20, the characteristic height of the cocrystal was increased by 28.6 cm and 11.5 cm compared with original CL-20 and HMX, respectively. The compatibility of CL-20/HMX cocrystal with components of solid propellant, including hydroxyl-terminated glycidylazide polymer(HGAP), nitroglycerin/1,2,4-butanetriol trinitrate (NG/BTTN), triisocyanate(N-100), ammonium perchlorate(AP), aluminum powder(Al powder) were investigated by differential scanning calorimetry(DSC). The CL-20/HMX cocrystal was compatible with NG/BTTN, AP and Al powder, while incompatible with HGAP, N-100.