Due to their large positive thermal expansion property, polymer bonded explosives (PBXs) are prone to deform under environmental temperature cycle. Based on the volume compensation effect, zirconium tungstate (ZrW2O8) with a negative thermal expansion (NTE) characteristic was first introduced to tailor the thermal expansion of energetic composites in this work. The PBXs modified with ZrW2O8 were fabricated by non-water kneading granulation technique, and their thermal expansion, mechanical properties, as well as microstructural thermal stability were systematically investigated. The coefficient of thermal expansion (CTE) during the heating stage and the strain were reduced by 19.8% and 19.1% for modified PBXs with the incorporation of 10 wt% ZrW2O8. For ZrW2O8 filled energetic composites at lower filler loading (≤10 wt%), the experimental values fell in between the Turner’s model and Schapery’s lower boundaries. Numerical simulation revealed that the decreased CTE could reduce thermal stress, which would benefit the safety and reliability of the weapon system. Combined with thermal and mechanical analyses, the thermal shock resistance of the ZrW2O8 modified energetic composite with 10 wt% filler loading was found to be 45% higher than that of pristine PBX without ZrW2O8, suggesting a reinforcement effect, which would be helpful for long-term storage of materials under environmental temperature cycles. The successful application of this functional NTE system to energetic materials might provide a new strategy for the construction of novel energetic composites with tailored thermal expansion.