Harmonic data analysis is the foundation of the real-time monitoring device development and the harmonic suppression. In this paper, the HHT and WT are both used to carry on the contrast analysis to the actual harmonic data of a 500kV substation. First, the intrinsic mode functions(IMF) of the harmonic data is obtained through empirical mode decomposition (EMD), then the instantaneous frequency and instantaneous amplitude of each IMF component is obtained by the Hilbert transform in each IMF; then the appropriate wavelet was selected to analyze the same group of harmonic data; the paper finally summarizes the amplitude frequency characteristics of a 500kV substation harmonic data and the advantages and disadvantages of two kinds of detection method.