The overpressure measurement of shock wave is one of the most important methods to evaluate the damage effectiveness of weapons. The signal processing method directly influences the quality of evaluation results. The ideal shock wave was analyzed and five different typical blast waves obtained by air blast experiments were presented. These signals are a combination of shock wave with ringing, projectile "N" wave, transient shake, admixture of incident and reflected waves, and non-exponential-decay shock waves. The digital filter, fitting and wavelet methods were applied in the processing of those five different signals. The results show that digital filtering and wavelet signal processing method can effectively eliminate vibration, while the fitting one is an optimal method to process shock wave with instant shake, but the fitting results are affected by the selection of different data segments.