The energy spectrum is an effective characteristic parameter in evaluation of explosion shock wave. However, the higher energy spectrum in a frequency band of explosion shock wave, the better damage effect of target in the same frequency band. Aiming at study the explosion shock wave energy spectrum, two groups of experiments is designed to measuring explosion shock wave pressure of same explosive at different blast center, and different explosive at same blast center. In order accurately extract energy spectrum, an improved HHT energy spectrum extraction method based on wavelet packet is put forward. In order to eliminate the effect of noise on the energy spectrum, wavelet packet is used to filter the original signal. Further, a correlation coefficient of the intrinsic mode function (IMF) and the signal after filtering are introduced to screening of effective component IMF. The results show that the improved HHT method improves the calculation accuracy and velocity of energy spectrum. Through the analysis of different conditions of the explosive shock wave energy spectrum, found that the low-frequency energy has larger damage range and decay slowly with increasing distance; In contrast, the high-frequency energy has weak damage effect and decay fast with increasing distance. At the same time, different types of explosive shock wave have different energy distribution; high frequency and low frequency energy can have significant differences. Thus these rules provide new ideals for evaluation of warheads’ damage effectiveness assessment.