The graphene (rGO) and carbon nanotube (CNT) were adopted to enhance the thermal conductivity of CL-20-based composites as conductive fillers. The microstructure features were characterized using scanning electron microscopy (SEM) and X-ray diffraction (XRD), and tested the properties by differential scanning calorimeter (DSC), static electricity accumulation, special height, thermal conductivity, and detonation velocity. The results showed that the mixture of rGO and CNT had better effect in thermal conductivity than rGO or CNT alone under the same loading (1 wt%) and it formed a three-dimensional heat-conducting network structure to improve the heat property of the system. Besides, the linear fit proved that the thermal conductivity of the CL-20-based composites were negatively correlated with the impact sensitivity, which also explained that the impact sensitivity was significantly reduced after the thermal conductivity increased and the explosive still maintained better energy.