The first-ever electron momentum density (EMD) measurements of explosive materials, namely, RDX (1,3,5-trinitro-1,3,5-triazacyclohexane, (CH2-N-NO2)(3)) and HMX (1,3,5,7-tetranitro-1,3,5,7-tetraazacyclooctane, (CH2-N-NO2)(4)), have been reported using a 740 GBq Cs-137 Compton spectrometer. Experimental Compton profiles (CPs) are compared with the EMDs derived from linear combination of atomic orbitals with density functional theory. It is found that the CPs deduced from generalized gradient approximation (GGA) with Wu-Cohen exchange energies give a better agreement with the corresponding experimental profiles than those from local density approximation and other schemes of GGA. Further, Mulliken population, energy bands, partial and total density of states, and band gap have also been reported using GGA calculations. Present ground state calculations unambiguously show large band gap semiconductor nature of both RDX and HMX. A similar type of bonding in these materials is uniquely established using Compton data and density of states. It is also outstandingly consistent with the Mulliken population, which predicts almost equal amount of charge transfer (0.84 and 0.83 e(-)) from H1 + H2 + N2 to C1 + N1 + O1 + O2 in both the explosives.