Despite the increasing popularity of photonic Doppler velocimetry (PDV) in shock wave experiments, its capability of capturing low particle velocities while changing rapidly is still questionable. The paper discusses the performance of short time Fourier transform (STFT) and continuous wavelet transform (CWT) in processing fringe signals of fast-changing low velocities measured by PDV. Two typical experiments are carried out to evaluate the performance. In the laser shock peening test, the CWT gives a better interpretation to the free surface velocity history, where the elastic precursor, main plastic wave, and elastic release wave can be clearly identified. The velocities of stress waves, Hugoniot elastic limit, and the amplitude of shock pressure induced by laser can be obtained from the measurement. In the Kolsky-bar based tests, both methods show validity of processing the longitudinal velocity signal of incident bar, whereas CWT improperly interprets the radial velocity of the shocked sample at the beginning period, indicating the sensitiveness of the CWT to the background noise. STFT is relatively robust in extracting waveforms of low signal-to-noise ratio. Data processing method greatly affects the temporal resolution and velocity resolution of a given fringe signal, usually CWT demonstrates a better local temporal resolution and velocity resolution, due to its adaptability to the local frequency, also due to the finer time-frequency product according to the uncertainty principle.