A new one-step granulation process for preparing high melting explosive- (HMX-) based PBX was developed. HMX/F2602 microspheres were successfully prepared by using HMX and F2602 as the main explosive and binder, respectively. The particle morphology, particle size, crystal structure, thermal stability, and impact sensitivity of the as-prepared HMX/F2602 microspheres were characterized by scanning electron microscopy (SEM), X-ray diffraction (XRD), laser particle size analyzer, differential scanning calorimetry (DSC), and impact sensitivity test, respectively. The SEM analysis indicated successful coating of F2602 on the surface of HMX, and the resulting particles are ellipsoidal or spherical with a median particle size of 940 nm; the XRD analysis did not show any change in the crystal structure after the coating and still has β-HNX crystal structure; according to the DSC analysis, HMX/F2602 prepared by the new method has better thermal stability compared to that prepared by the water suspension process. The impact sensitivity of HMX/F2602 prepared by this one-step granulation process decreased, and its characteristic height H50 increased from 37.62 to 40.13 cm, thus significantly improving the safety performance. More importantly, this method does not need the freeze-drying process after recrystallization, thus increasing the efficiency by 2 to 3 times.