A series of field vibration tests were carried out at an underground metro station underneath the high speed railway by installing accelerometers both on the side wall of the metro station and in the surrounding soil. Within the frequency domain of 0–200 Hz, the attenuation, transmission, and frequency response properties of vibration for both the underground structure and the surrounding soil were analyzed and compared. The attenuation index is found to be decreased with the increase of underground structure stiffness. The existence of damping and coupling effect of the surrounding soil, as well as the interference of axle spectrum from excitation sources, makes it very challenging to separate the frequency response characteristics of structures from soil at FFT (Fast Fourier Transform) spectrum. The combined NExT (Natural Excitation Technique) and HHT (Hilbert–Huang Transform) method are thus used to study the waveforms and propagation velocities of vibration waves in underground structure and surrounding soil. The wave types and their speeds are determined and used for evaluating the structural elastic modulus. Compared with the attenuation index or natural frequency, wave velocity is easier to be recognized, is sensitive to the change of the structural stiffness, and requires limited number of sensors in the field. Based on the properties of the vibration characteristics studied in this work, the wave velocity based method is recommended for the health monitoring of underground structures.