The recent research progress of structure- and size-controlled micro/nano-energetic materials is reviewed, which properties are fundamentally different from those of their corresponding bulk materials. The development of the construction strategies for achieving zero-dimensional (0D), one-dimensional (1D), two-dimensional (2D), and three-dimensional (3D) micro/nanostructures from energetic molecules is introduced. Also, an overview of the unique properties induced by micro/nanostructures and size effects is provided. Special emphasis is focused on the size-dependent properties that are different from those of the conventional micro-sized energetic materials, such as thermal decomposition, sensitivity, combustion and detonation, and compaction behaviors. A conclusion and our view of the future development of micro/nano-energetic materials and devices are given.