Abstract: Energetic composites constitute a class of architected material systems whose mechanical, thermal, and safety-related properties can be tailored over a broad design space through multiscale structural design. However, their overall performance is often constrained by degradation mechanisms originating at the particle/matrix interface, including thermal mismatch, stress concentration, and interfacial debonding. These effects are further amplified under extreme service conditions, thereby undermining structural reliability and operational safety. Fundamentally, this challenge reflects a highly coupled multi-objective optimization problem involving mechanical, thermal, and safety performance. Interfacial engineering offers an effective pathway to address this challenge. By introducing functionalized coatings at the particle scale, stress transfer and heat-transport behaviors can be synergistically regulated, enabling energetic composites to access performance regimes in which mechanical robustness and thermal stability coexist. Despite rapid advances in experimental characterization, theoretical modeling, and data-driven approaches, a unified framework that systematically links interfacial architectural design with mechano–thermal synergy remains lacking. This review provides a comprehensive survey of recent progress in interfacial coating strategies for energetic composites. Emphasis is placed on coating material systems, fabrication routes, and microstructural descriptors, together with their influences on macroscopic mechanical and thermal properties. The interfacial coupling mechanisms responsible for coordinated enhancements in stiffness, strength, thermal conductivity, and thermal expansion behavior are further elucidated. On this basis, an integrated “materials–microstructure–process–characterization–model–artificial intelligence (AI)” framework is outlined to guide the rational design and scalable manufacture of multifunctional energetic composites and structural components.