The FTIR spectra of 1,3,5-trinitro-1,3,5-triazacyclohexane (RDX) and pentaerythritol tetranitrate (PETN) in the vapor phase over wide frequency (3500–500 cm−1) and temperature ranges (293–383 K) is experimentally studied and the assignment of the observed vibrational bands is performed. To clarify the nature of the physicochemical processes that occur during the heating and evaporation of RDX and PETN and to detect and identify their characteristic components, the mass spectra and sub-THz spectra of these explosives are studied. To obtain spectroscopic information, special experimental techniques for recording of IR, sub-THz, and mass spectra of vapors of explosives and for preparation of high-purity RDX and PETN samples (with a main substance content of >99.7%) are developed based on modern methods of synthesis and purification.