CL-20-based host-guest complexes are promising energetic materials, which are prepared by embedding small molecules into the crystal lattice cavity of anhydrous CL-20. The structure, interaction, stability, and detonation performance of a series of host-guest complexes were investigated by the combination method of density functional theory and experiment. Both the crystal structure of α-CL-20/H2O and α-CL-20/N2O revealed by powder X-ray diffraction and the thermal stability order of α-CL-20/N2O, α-CL-20/CO2, α-CL-20/H2O, and α-CL-20/H2O2 measured using a differential scanning calorimeter show excellent accordance between experimental results and simulative predication. Thus, the reliability of the calculation method can be judged by the result of this comparison. The stability of different host-guest structures was compared under vacuum, and the influence of intermolecular interactions on the structural stability was discussed. In view of the various factors affecting the performance of high-energy explosives, such as detonation performance, thermal stability, and density, we conclude that α-CL-20/O3 could be regarded as a potential target high-energetic compound. On the basis of the above results, this calculation method can provide a theoretical basis for the preparation of CL-20-based host-guest energetic compounds.