The invention discloses a preparation method of micro-nano CL-20-based thermosetting explosive emulsion, comprising: calculating required weights of micro-nano CL-20, adhesive, solvent and curing agent according to design-required solid-liquid ratio and solid quantity; weighing a certain amount of a mixed solvent of soluble adhesive, adding to an eggplant-shaped flask, adding a certain amount of adhesive, stirring well to obtain transparent solution, adding micro-nano CL-20 explosive, stirring, and adding a certain amount of curing agent to obtain the micro-nano CL-20-based thermosetting explosive emulsion having certain viscosity, and bright and uniform appearance when explosive particles and adhesive solution are fully wetted and uniform emulsion is formed. The preparation method has the advantages of good operating simplicity, good convenience of direct filling, high curing density, small detonation critical size and the like, and is widely applicable.