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Shock signal is easily interfered by noise. As Empirical Mode Decomposition(EMD) denoising method and wavelet threshold denoising method both have their disadvantages, a new denoising method is proposed when they are combined. When removing high-frequency noise, EMD denoising method also suppresses effective high-frequency information. In the proposed denoising method, continuous square error rule is used to define IMF components with higher frequency, and the wavelet threshold method is applied in those components. Meanwhile the other IMF components retains the same. Firstly the performance of proposed denoising method is validated by simulation, then the proposed method is applied in shock signal. The results show that the denoising effect of the proposed method is better than both single methods.