Nano HMX was prepared using a bi-directional rotation mill and dried in different liquids, at various temperatures, and under different conditions. It was revealed that the samples were caked seriously and the particles tend to aggregate with obviously increased size when dried through ordinary drying in different liquids at 70 degrees C, which also occurred after vacuum drying. The degree of caking and aggregation was enhanced with increasing temperature. The particles were prevented to grow and the samples were fluffy when supercritical drying, particularly freeze drying, was used. The mechanical sensitivities of the samples marked with I-HMX, O-HMX, and F-HMX, which had average sizes of 120.36m, 1.18m, and 0.16m, respectively, were carried out. Compared with I-HMX, the friction, impact, and shock sensitivities of O-HMX were slightly lower, and a significant sensitivity decrease for F-HMX happened with specific values of 28%, 42.8%, and 56.4%, respectively, which demonstrated significant safety improvement.