A novel ceramic membrane anti-solvent crystallization (CMASC) method was proposed to prepare Fe2O3/AP nanocomposites with core-shell structure. For the preparation of Fe2O3/AP nanocomposites, several key advantages of the CMASC method are as follows. Firstly, both well-dispersed Fe2O3 nanoparticles and the superfine AP preparation can be achieved at one step. Secondly, no non-component of solid propellant was involved in this composite process. Thirdly, the size and morphology of Fe2O3/AP nanocomposites can be effectively controlled by using the ceramic membrane with regular pore structure as feeding template. The morphology and structure of Fe2O3/AP nanocomposites were characterized by inductively coupled plasma spectrophotometry (ICP), IR spectroscopy, SEM, and HRTEM. The results verified that the size and morphology of Fe2O3/AP nanocomposites are controllable, and the dispersion of Fe2O3 nanoparticles is greatly improved in Fe2O3/AP nanocomposites. Moreover, the thermal decomposition of the as-prepared Fe2O3/AP nanocomposites was measured with TG-DSC. The results showed that the Fe2O3 nanoparticles in Fe2O3/AP nanocomposites exhibit better catalytic activity on the thermal decomposition of AP. In addition, the mechanism was also discussed.