Time-frequency analysis of shock wave signals is the basis of studying the anti-knock and vibration characteristics of structural components. In order to study the applicability of the variational mode decomposition method (VMD) in the analysis of shock wave signals, the time history curves of the blast wave overpressure at different detonation center distances of explosives were measured by explosion tests. Then according to the time-frequency characteristics of blast wave signal, the decomposition order and the value of penalty factor in the algorithm are discussed. The blast wave signal is decomposed by VMD method, and the waveform and distribution rule of each component in time domain and frequency domain after the shock wave signal decomposition are given. The results show that the time domain fidelity and frequency domain resolution of the decomposed signal are good when the penalty factor is 0.15~0.5 times of the signal length and the number of segments of the amplitude-frequency curve is taken as the decomposition stage. Among them, the energy of blast wave is mainly concentrated in the middle and low frequency part and the dominant sub-frequency band part, while the energy distribution in the high frequency part is relatively small, which has the characteristics of small amplitude and wide frequency band.