To improve the safety of cyclotetramethylenetetranitramine (HMX) particles, a novel strategy was developed for the fabrication of graphene oxide encapsulated HMX (HMX@GO) by electrostatic self-assembly between graphene oxide and HMX particles. The prepared samples were characterized by optical microscopy, scanning electron microscopy, Raman spectroscopy, X-ray photon spectroscopy, thermogravimetry, differential scanning calorimetry and water contact angle tests. The results revealed that GO sheets were coated densely and homogeneously on the HMX particles in a HMX@GO composite at a low GO content of about 0.23wt%. Compared with that of raw HMX, the impact sensitivity of the HMX@GO composite decreased from 100% to 30%, and the 50% probability of required ignition energy (E-50) in the electrostatic spark sensitivity test increased from 0.66J for HMX to 1.12J for the HMX@GO composite, suggesting that the electrostatically self-assembled GO coating layer could obviously enhance the safety of HMX.