To understand the thermal decomposition and combustion characteristics of HMX/aluminum (Al) composites, this study prepared the HMX/Al composites with different Al contents and carried out the thermal decomposition and combustion performance tests of these composites. The thermal analysis results showed that the activation energy of the HMX/Al composites increased from 483.94 kJ·mol−1 to 541.60 kJ·mol−1 when the Al content increased from 0 to 30 wt%. However, the change in the Al content had little effect on the heat flow of the HMX/Al composites. The combustion results showed that the calorific value of HMX/Al-30 composite reached 16,860 J·g−1. The flame height and burning intensity gradually increased with an increase in the Al content, and the burning duration of HMX/Al-10, HMX/Al-20, and HMX/Al-30 gradually decreased by 0.21, 0.57 ms and 0.91 ms, respectively. The results showed that Al powder as metal fuel can control the combustion reactions and energy output of HMX-based explosives.