In view of the current problems of slow crystallization rate, varying grain sizes, complex process conditions, and low safety in the preparation of CL-20/TNT cocrystal explosives in the laboratory, an opposite spray crystallization method is provided to quickly prepare ultrafine explosive cocrystal particles. CL-20/TNT cocrystal explosive was prepared using this method, and the obtained cocrystal samples were characterized by electron microscopy morphology, differential thermal analysis, infrared spectroscopy, and X-ray diffraction analysis. The effects of spray temperature, feed ratio, and preparation method on the formation of explosive cocrystal were studied, and the process conditions of the pneumatic atomization spray crystallization method were optimized. The crystal plane binding energy and molecular interaction forces between CL-20 and TNT were obtained through molecular dynamic simulation, and the optimal binding crystal plane and cocrystal mechanism were analyzed. The theoretical calculation temperature of the binding energy was preliminarily explored in relation to the preparation process temperature of cocrystal explosives. The mechanical sensitivity of ultrafine CL-20/TNT cocrystal samples was tested. The results showed that choosing acetone as the cosolvent, a spraying temperature of 30 °C, and a feeding ratio of 1:1 was beneficial for the formation and growth of cocrystal. The prepared CL-20/TNT cocrystal has a particle size of approximately 10 μm. The grain size is small, and the crystallization rate is fast. The impact and friction sensitivity of ultrafine CL-20/TNT cocrystal samples were significantly reduced. The experimental process conditions are simple and easy to control, and the safety of the preparation process is high, providing certain technical support for the preparation of high-quality cocrystal explosives.