Composite explosives with fast reaction rate, high energy release efficiency, and remarkable combustion performance can be obtained by the interaction between homogeneous energetic materials and heterogeneous energetic materials and have broad application prospects. However, ordinary physical mixtures can easily cause separation between the components in the preparation process, which is not conducive to reflecting the advantages of composite materials. In this study, high-energy composite structured explosives with RDX modified by polydopamine as the core and PTFE/Al as the shell were prepared using a simple ultrasonic method. The study of morphology, thermal decomposition, heat release, and combustion performance demonstrated that the quasi-core/shell structured samples have higher exothermic energy, faster combustion rate, more stable combustion characteristics, and lower mechanical sensitivity than the physical mixture.