A continuous extrusion process for manufacturing composite gun propellant is disclosed. The disclosed process is particularly suitable for preparing gun propellant formulations based upon a cellulose ester binder. In the process, the binder ingredients are dissolved in an organic solvent and then pumped directly into a twin-screw extruder. The other ingredients, except the oxidizer, may optionally be dissolved in the organic solvent prior to introduction into the twin-screw extruder. The oxidizer is dried, ground, and also fed dry to the twin-screw extruder. In the extruder, the materials are thoroughly mixed and the solvent is reduced to sufficient level for direct extrusion through the desired dies.