Brain-Machine Interface (BMI) could make people control machine through EEG which is produced by the brain activity, and it provide a new communication method between human and machine. The research for BMI will extend the ability of communication and control the environment and machine. The key point of the BMI is how to abstract and distinguish different EEG characters. Therefore, EEG signal processing method is the emphasis of BMI. Wavelet Transform and Hilbert-Huang Transform are used to analyze the EEG signal in this paper. The results indicate that these two methods could abstract the main characters of the EEG, but the Hilbert-Huang Transform could express the distributing status in the time and frequency aspect of the EEG more accurately, because it produces the self-adaptive basis according the data, and obtain the local and instantaneous frequency of the EEG.