We introduces Crimson, a system that enhances the strategic reasoning capabilities of Large Language Models (LLMs) within the realm of cybersecurity. By correlating CVEs with MITRE ATT&CK techniques, Crimson advances threat anticipation and strategic defense efforts. Our approach includes defining and evaluating cybersecurity strategic tasks, alongside implementing a comprehensive human-in-the-loop data-synthetic workflow to develop the CVE-to-ATT&CK Mapping (CVEM) dataset. We further enhance LLMs' reasoning abilities through a novel Retrieval-Aware Training (RAT) process and its refined iteration, RAT-R. Our findings demonstrate that an LLM fine-tuned with our techniques, possessing 7 billion parameters, approaches the performance level of GPT-4, showing markedly lower rates of hallucination and errors, and surpassing other models in strategic reasoning tasks. Moreover, domain-specific fine-tuning of embedding models significantly improves performance within cybersecurity contexts, underscoring the efficacy of our methodology. By leveraging Crimson to convert raw vulnerability data into structured and actionable insights, we bolster proactive cybersecurity defenses.