In this paper, we introduce a robust method for dynamic characterization of pressure measuring systems used in time-varying pressure applications. The dynamic response of the pressure measuring systems in terms of sensitivity and phase as a function of frequency at various amplitudes of the measurand can be provided. The shock tube which is the candidate primary standard for dynamic pressure calibration at the National Laboratory for pressure, Sweden, was used to realize the dynamic pressure. The shock tube setup used in this study can realize reference pressure with amplitudes up to 1.7 MPa in the frequency range from below a kilohertz up to a megahertz. The amplitude of the realized step pressure was calculated using the Rankine–Hugoniot step relations. In addition, the accurate time of arrival of the generated shock at the device under test (DUT) was measured using an optical probe based on shadowgraphy. The optical detector has a response time in nanosecond time scale which is several orders of magnitude faster than the response time of any pressure measuring system. Hereby, the latency between physical stimuli and response of the DUT can be measured. By the knowledge of the amplitude and the accurate time of arrival of the reference step pressure, the transfer function of the DUT can be calculated and presented in Bode diagrams of sensitivity and phase response versus frequency. The uncertainty in sensitivity and phase measurements was estimated. The information provided by this work is useful for developing reliable models of dynamic pressure measuring system and provide accurate information about their dynamic response. That in turn will contribute to establish a traceability chain for dynamic pressure calibration.