Ultrafine explosives show high safety and reliable initiation and have been widely used in aerospace, military, and industrial systems. The outstanding performance of ultrafine explosives is largely given by the unique void defects according to the simulation results. However, the structures and effects of internal nano-voids in ultrafine explosive particles have been rarely investigated experimentally. In this work, contrast-variation small angle X-ray scattering was verified to reliably measure the structures of internal nano-voids in ultrafine explosive 2,6-diamino-3,5-dinitropyrazine-1-oxide (LLM-105) and 2,2',4,4',6,6'-hexanitro diphenylethylene (HNS). The size of nano-voids is around 10 nm, and the estimated number of nano-voids in a single particle is considerable. Moreover, the thermal stability of ultrafine LLM-105 was improved via changing the structures of nano-voids. This work provides a methodology for the study of nano-void defects in ultrafine organic particles and may pave the path to enhance the performance of ultrafine explosives via defect engineering.