Weak interfacial interactions remain a bottleneck for composite materials due to their weakened performance and restricted applications. The development of core–shell engineering shed light on the preparation of compact and intact composites with improved interfacial interactions. This review addresses how core–shell engineering has been applied to energetic materials, with emphasis upon how micro-energetic materials, the most widely used particles in the military field, can be generated in a rational way. The preparation methods of core–shell structured explosives (CSEs) developed in the past few decades are summarized herein. Case studies on polymer-, explosive- and novel materials-based CSEs are presented in terms of their compositions and physical properties (e.g., thermal stability, mechanical properties and sensitivity). The mechanisms behind the dramatic and divergent properties of CSEs are also clarified. A glimpse of the future in this area is given to show the potential for CSEs and some suggestions regarding the future research directions are proposed.