High-density materials have attracted extensive attention because of their broad applications. However, strategies for improving the densities of MOFs and preparing denser MOFs remain almost unexplored. Herein, we propose a tandem anion-ligand exchange strategy for synthesizing denser MOFs by using three-dimensional cationic MOFs (3D CMOFs) with pillared layered structures as precursors and high-density anions and small monotopic ligands as exogenous guests. By means of this strategy, we choose the high-density nitroformate ion [C(NO2)3-] as an exogenous anion and water as an exogenous ligand to successfully synthesize two layered CMOFs. Single-crystal X-ray diffraction showed that after this transformation, the extra-framework anions are replaced with the C(NO2)3- anions, and the distances between adjacent layers in the two-dimensional (2D) networks are more than 3.70 Å shorter than those of their 3D precursors. The resultant materials exhibit higher densities, higher heats of detonation, higher nitrogen and oxygen contents, and lower metal contents. In particular, the density of {Cu(atrz)2[C(NO2)3]2(H2O)2·atrz·2H2O}n (2b, ρ = 1.76 g cm-3, atrz = 4,4'-azo-1,2,4-triazole) is increased by 0.12 g cm-3 compared to its 3D precursor {2a, [Cu(atrz)3(NO3)2·2H2O]n, ρ = 1.64 g cm-3}, and its heat of detonation is also enhanced to more than 1900 kJ kg-1. The resultant 2D layered CMOFs are also new potential high-energy density materials. This work may provide new insights into the design and synthesis of high-density MOFs. Moreover, we anticipate that the approach reported here would be useful for the preparation of new MOFs, in particular, which are otherwise difficult or unfeasible through traditional synthetic routes.