Capillary electrophoresis techniques often involve ion-concentration shock waves in an electrolyte solution, propagating under the effect of an external electric field. These shock waves are characterized by self-sharpening gradients in ion concentrations and electrical conductivity that are collinear with the electric field. The coupling of electric field and fluid motion at the shock interface sometimes leads to an undesirable electrohydrodynamic (EHD) instability. Using linear stability analysis, we describe the motion of small-amplitude disturbances of an electrophoretic shock wave. Our analysis shows that the EHD instability results due to the competition between destabilizing electroviscous flow and stabilizing electromigration of the shock wave. The ratio of timescales corresponding to electroviscous flow and electromigration yields a threshold criterion for the onset of instability. We present a validation of this threshold criterion with published experimental data and also describe the physical mechanism underlying the EHD instability of the electrophoretic shock wave.