Thin-walled steel structures, prized for their lightweight properties, material efficiency, and excellent mechanical characteristics, find wide-ranging applications in ships, aircraft, and vehicles. Given their typical role in various types of equipment, it is crucial to investigate the response of thin-walled structures to shock waves for the design and development of innovative equipment. In this study, a shock tube was employed to generate shock waves, and a rectangular steel plate with dimensions of 2400.0 mm × 1200.0 mm × 4.0 mm (length × width × thickness) was designed for conducting research on transient shock vibration. The steel plate was mounted on an adjustable bracket capable of moving vertically. Accelerometers were installed on the transverse and longitudinal symmetric axes of the steel plate. Transient shock loading was achieved at nine discrete positions on a steel plate by adjusting the horizontal position of the shock tube and the vertical position of the adjustable bracket. For each test, vibration data of eight different test positions were obtained. The wavelet transform (WT) and the improved ensemble empirical mode decomposition (EEMD) methods were introduced to perform a time-frequency analysis on the vibration of the steel plate. The results indicated that the EEMD method effectively alleviated the modal aliasing in the vibration response decomposition of thin-walled structures, as well as the incompletely continuous frequency domain issue in WT. Moreover, the duration of vibration at different frequencies and the variation of amplitude size with time under various shock conditions were determined for thin-walled structures. These findings offer valuable insights for the design and development of vehicles with enhanced resistance to shock wave loading.