The compressive mechanical behavior of composite modified double base (CMDB) propellant was investigated across a wide scope of strain rates ranging from 10−3 s−1 to 4210 s−1 at room temperature, by applying a conventional universal testing machine and a split Hopkinson tension bar (SHPB), respectively. The derived stress-strain curves at different strain rates show a strong rate dependence, indicated that yield stress, ultimate stress and strain energy density of CMDB propellant all increase with strain rate by following a power law function, while the amplification of increase are different. The deformation and damage modes of CMDB propellant has changed from a typical ductile manner (cracking along the axial direction) to a brittle manner (maximum shear failure) with increasing of strain rate. Scanning electron microscopy (SEM) was employed to explore the microscopic failure characteristics of CMDB propellant. Under quasi-static loading, the nearly parallel micro-cracks propagating along the axial direction and the debonding of RDX particle without particle crushing can be observed. While under dynamic loading, the micro-crack is 45° angle to the axial direction, and multiple cracking modes of RDX particles appeared. Finally, the correlation between strain energy density and failure mechanisms of CMDB propellant was revealed by developing four characteristic failure modes. The findings of this study is very important to evaluate the structural integrity of CMDB propellant.