The loading of bubble jet is an important part of the whole loading induced by the middle-field and near-field underwater explosion. Due to the fact that the period of the bubble jet is extremely short and the jet occurs inside the complicated underwater explosion bubble, it is hard to investigate the bubble jet through the direct underwater explosion bubble. Therefore, simplifying underwater explosion bubble jet into a high-speed water column has been widely adopted by many researchers to investigate the bubble jet. Based on the in-cavity explosion, a new high-speed water jet experimental methodology was proposed, and the experimental device design, method and system were presented as well. The details about how to carry out the pertinent experiments were also illustrated. Based on the proposed experimental system, the experimental research on high-speed water jet under different conditions were carried out. It is found that the shapes of the generated high-speed water jet vary with the outlet position and the depth of the cavity. Three experiments with three different cavity depths but same outlet position, and other two experiments with same cavity depth but different outlet positions were carried out. According to the results, the shape of the water jet generated in the experiments with short cavity depth and surface-above outlet position cannot meet the requirements of the investigation. The influence of outlet position and depth of the cavity on the shape of the water jet was investigated and the mechanism of the water jet shape was analyzed. According to the requirements of the investigation of the bubble jet wall pressure, the adoptable outlet position and cavity depth were got. In the experiments, the piezoelectric wall pressure sensor was used to measure the wall pressure of the water jet. The whole water jet wall pressure can be divided into two phases: the initial impact pressure period and the later hydrodynamical pressure period. According to the results, the outlet position and the depth of the cavity are the two main factors affecting on the shape of the water jet. The initial impact pressure of the water jet meets the water hammer theory. The proposed water jet experimental methodology based on the in-cavity explosion can be used to investigate the shape of the high-speed water jet and wall pressure characteristics including the underwater explosion bubble jet.