Micro pyrotechnic train is an energetic microsystem that integrates MEMS control circuits, micro energetic devices, micro safety mechanisms, and micro output charges. It has been actively promoted and applied in space technology, healthcare, and ordnance due to its outstanding advantages of miniaturization, high efficiency, and intelligence. Micro pyrotechnic train mainly achieves functions such as ignition, propulsion, or detonation through the energetic materials filled inside it. As the core of micro pyrotechnic trains, energetic materials and their development have always been a highly concerned subject. Herein, this paper analyzes and summarizes the research progress of advanced energetic materials, such as two-dimensional energetic materials, metastable intermolecular composites and green primary explosives. Moreover, the application of additive manufacturing technology and in-situ synthesis methods (gas-solid phase chemical reactions, electrically assisted chemical reactions) in the preparation of advanced energetic materials was discussed. Furthermore, suggestions regarding the possible future research directions are proposed.