The fine HMX particles were prepared by spray drying method. HMX was dissolved in acetone and the solution treated by spray dryer ,then the particles with mean size of about 3μm obtained. The factors that affect particle size distribution have been analyzed,and the size distribution of ultrafine HMX particals reduces with flow rates of HMX resolution decreasing and flow rates of air increasing. X-ray diffraction(XRD) shows that the fine HMX particles are β-phase,and there is no phase transition in the process of preparation. Scanning Electron Microscopy(SEM) photograph indicates that many particles have shapes of hollow. Thermogravimetric and Differential Scanning Calorimetric(TG-DSC) spectroscopy displays that structural phase transition of fine HMX takes place at lower temperature comparing to that of gross granule.