Cocrystal is an important way to obtain high energy and insensitivity energetic materials, the oxygen balance, sensitivity, detonation heat, explosive power and security of energetic materials could be improved by the formation of cocrystal. CL-20/HMX cocrystal is the representative of high energy and insensitivity cocrystal energetic materials. Compared with CL-20, the energy level of CL-20/HMX cocrystal is similar while the sensitivity of CL-20/HMX is greatly reduced. In this paper, the necessity of the study of CL-20/HMX cocrystal was explained by compare the properties of CL-20/HMX cocrystal with CL-20 and HMX, and the latest research progress of CL-20/HMX cocrystal was summarized from the aspects of preparation methods, formation mechanism, performance and application. The advantages and disadvantages of the preparation methods of CL-20/HMX cocrystal were compared, the formation mechanism of CL-20/HMX cocrystal was summarized, and the properties of CL-20/HMX cocrystal prepared by different methods were analyzed. The developmend and application prospects of CL-20/HMX cocrystal were evaluated.