This paper aims to investigate the effect of nano/micro-structures on anti-impact property of nano-boron nitride (nano-BN) filled cementitious composites, and to predict the dynamic mechanical behavior of the composites by introducing a damage constitutive model. It is found that nano-BN can fundamentally modify the micro- and even nano-structures of cementitious composites, and therefore greatly improve the anti-impact property of the composites at the macro level. Specifically, nano-BN refines the pore structure (especially at nano-scale) of composite matrix and increases its compactness. Furthermore, by enhancing polymerization state of silicate tetrahedron in C-S-H gel, nano-BN improves the micromechanical properties of hydration products at different micro-zones. Consequently, dynamic mechanical property of cementitious composites at macro-level is enhanced, and the energy absorption capacity is improved. In addition, dynamic damage model indicates that nano-BN inhibits the damage of cementitious composites, but its inhibition form changes with the strain rate.