To investigate the influence of the cubic crystal morphology on the thermal properties and sensitivity of 2,6-bis(picrylamino)-3,5-dinitropyridine (PYX), cubic PYX (CPYX) crystals were prepared using the antisolvent method. Scanning electron microscopy (SEM), laser particle size analysis, X-ray diffraction (XRD) and Fourier transform infrared spectroscopy (FT-IR) were used to characterize the morphology, particle size and structure of the prepared products. The thermal behavior, thermal decomposition kinetics, thermal safety parameters and thermal decomposition mechanism of CPYX were investigated by differential scanning calorimetry–thermogravimetry–mass spectrometry–Fourier transform infrared spectrometry (DSC-TG-MS-FT-IR) and in situ FT-IR experiments. Meanwhile, the mechanical sensitivity of CPYX was determined by means of the explosion probability method. The results showed that the product had a smooth cubic morphology and small crystal aspect ratio with an average particle size (d50) of 10.65 μm, but it had no distinct differences from the crystal structure of raw PYX (RPYX). The thermal decomposition peak temperature, the self-accelerating decomposition temperature and the critical temperature of the thermal explosion of CPYX increased by 7.2 °C, 6.1 °C and 10.4 °C, respectively, compared to RPYX. Similarly, the apparent activation energy increased by 15%. Besides these, the impact sensitivity and friction sensitivity of CPYX decreased by 36% and 20%, respectively, compared to RPYX. The decomposition process of CPYX contains two stages. The first stage involves the breakage of N-H bonds and -NO2 groups with the release of CO2, N2O, NO, HCN and H2O, followed by the thermal decomposition of the resulting intermediate and the release of CO2, N2O and HCN in the second stage.