A solvent–non-solvent approach was used to create a CL-20-based aluminum-containing explosive with a composite structure. The SEM results demonstrate that the aluminum powder is equally embedded on the surface of the CL-20 crystal in the CL-20/Al explosive with a composite structure but the aluminum powder in the mechanically mixed CL-20/Al explosive is agglomerated and spread unevenly. The maximum expansion velocity of the composite structure CL-20/Al explosive was 17.74% higher than that of the mechanically mixed explosive in the cylinder test, and the acceleration ability of the CL-20/Al explosive with a composite structure to the cylinder wall is superior to that of the mechanically mixed explosive. In the air explosion test, the shock wave overpressure and impulse of the CL-20/Al explosive with a composite structure are superior to those of the mechanically mixed explosive, but as the distance increases, the gap between the two explosives gradually narrows until it is flat. The results of interfacial particle velocity show that the length of the reaction zone and duration of CL-20/Al explosives with composite structures are longer than those of mechanically mixed structures, and the interfacial particle velocity of CL-20/Al explosives with composite structures is higher than that of mechanically mixed structures.