Three fabrication methods were used to synthesize HMX powders with different particle sizes and microscopic morphologies. All as-prepared samples were characterized by laser granularity measurements and scanning electron microscopy (SEM). The mechanical sensitivity and thermal stability of the different HMX powders were characterized using mechanical sensitivity tests and differential scanning calorimetry (DSC). Size distribution data and SEM images were used to find the size fractal dimension (D) and surface fractal dimension (Ds) of HMX samples, which were calculated by the least-squares method and fractal image processing software (FIPS), respectively. The parameters D and Ds quantize two important properties of HMX particles, namely the complexity of the particle size distribution and the irregularity of the particle surface, which affect the thermal conductivity of the particle group if it is exposed to stimuli such as impact, friction or heating. The fractal dimensions reveal the dependence of the mechanical sensitivity of HMX on the powder size, size distribution and microscopic morphology. The results indicate that the proportion of fine particles in HMX powder increases as the D value increases, which causes decreased impact sensitivity. This occurs because hot spot formation leading to an explosion is more difficult because of the improved thermal conductivity of the particle group. Similarly, the surface roughness of HMX particles increases with an increase in Ds, causing an increase in friction sensitivity because of the excessive accumulation of frictional heat. In addition, thermal analysis results indicate that the maximum thermal decomposition rate of HMX decreases with increasing D and Ds.