The solid–solid phase transition, poor mechanical properties, and high sensitivity has impeded further practical applications of 1,3,5,7-tetranitro-1,3,5,7-tetrazocane (HMX) based polymer bonded explosives (PBXs). To address these issues together, a facile and effective route was employed to achieve a coating of polydopamine (PDA) on the surface of explosive crystals via in situ polymerization of dopamine. Additionally, PBXs based on HMX@PDA microcapsules were prepared with a fluoropolymer as polymer binder. Improved storage modulus, static mechanical strength and toughness, and creep resistance has been achieved in as-prepared PDA modified PBXs. The β-δ phase transition temperature of as-obtained PBXs based on conventional HMX (C-HMX)@PDA was improved by 16.3 °C. The friction sensitivity of the C-HMX based PBXs showed a dramatic drop after the PDA coating. A favorable balance proposed in this paper among thermal stability, mechanical properties, and sensitivity was achieved for C-HMX based PBXs with the incorporation of PDA.