For solving phase separation of nanoparticles and graphene oxide (GO) in the application process, MgWO4– GO nanocomposites were successfully synthesized using three different dispersants via a facile solvothermal-assisted in situ synthesis method. The structure and morphology of the prepared samples were characterized by X-ray diffraction, Scanning electron microscopy, Transmission electron microscopy, Fourier transform infrared and Raman techniques. The experimental results show that MgWO4 nanoparticles are tightly anchored on the surfaces of GO sheets and the agglomeration of MgWO4 nanoparticles is significantly weakened. Additionally, MgWO4– GO nanocomposites are more stable than self-assembly MgWO4/ GO, which there is no separation of MgWO4 nanoparticles and GO sheets by ultrasound after 10 min. The catalytic results show that, compared with bare MgWO4, MgWO4– GO nanocomposites present better catalytic activities on the thermal decomposition of cyclotetramethylenete tranitramine (HMX), cyclotrimethylene trinitramine (RDX) and ammonium perchlorate (AP). The enhanced catalytic activity is mainly attributed to the synergistic effect of MgWO4 nanoparticles and GO. MgWO4– GO prepared using urea as the dispersant has the smallest diameter and possesses the best catalytic action among the three MgWO4– GO nanocomposites, which make the decomposition temperature of HMX, RDX and AP reduce by 10.71, 11.09 and 66.6 °C, respectively, and the apparent activation energy of RDX decrease by 68.6 kJ mol−1.