We modify the split Hopkinson pressure bar and propose a compression–shear experimental method to investigate the dynamic behavior of polymer-bonded explosives (PBXs). The main apparatuses used include an incident bar with a wedge-shaped end and two transmission bars. We employ Y-cut quartzes with a rotation angle of 17.7° to measure the shear force and an optical system for shear strain measurement. A PBX with a density of 1.7 g/cm3 is investigated using the proposed method. Experimental results show that the specimen endures both compression and shear failure. Compression failure stress rises, and shear failure stress decreases as the strain rate increases. The sequences of shear and compression failure times are various at different strain rates. Based on the maximum shear failure criterion, we conclude that these phenomena are related to the experimental loading path.