The microstructure of HMX (Octogen) crystal particles with average sizes of 5 and 20 μm was studied by in situ variable-temperature small-angle X-ray scattering (SAXS) and wide-angle X-ray scattering (WAXS). The WAXS results showed that the initial β→δ phase transition temperature of HMX (5 μm) is 194 ℃, which is 8 ℃ higher than that of the HMX (20 μm). Guinier law modelling analysis of SAXS measurements revealed the presence of defects with gyration radii between 0.6~0.9 nm will occur in HMX when above 150 ℃. The volume ratio of the defects irreversibly increases with temperature. The number of defects in HMX (20 μm) was found to be higher than that of HMX (5 μm). SAXS, WAXS and scanning electron microscopy all indicate that the thermal stability of HMX (5 μm) is better than that of HMX (20 μm). Finally, the mechanism of defects formation and their effect on the structural integrity and sensitivity of HMX were discussed.