To investigate the surface residual stress hole formation mechanism induced by laser shock peening (LSP) in an E690 high-strength steel sheet and to assign weights to the relevant causes; E690 steel samples were loaded using four laser beams with different power densities. The dynamic strain in thin plate samples was measured using a polyvinylidene fluoride piezoelectric sensor during LSP and the residual stress distributions on thin- and thick-plate samples were studied using an X-ray stress analyzer. The residual stress distribution of the simulated laser shock E690 high-strength steel sheet was consistent with that of the measured residual stress field, and the propagation pattern induced by a pulsed laser shock wave obtained via simulation shows good consistency with the surface dynamic strain test results. A shock wave propagation model was established for E690 high-strength steel sheets. At laser power densities of 1.98 and 2.77 GW/cm2, the residual stress fields obtained through simulations and experiments show the residual stress hole phenomenon. The combined effect of the shock wave, which is reflected back and forth, and the rarefaction waves that converge toward the center produced the residual stress hole phenomenon, and shock wave reflection has a slightly greater impact than surface rarefaction wave convergence on the residual stress holes on the material’s surface. When the laser power density is 4.07 GW/cm2, the maximum residual principal stress is distributed uniformly.