The split Hopkinson pressure bar (SHPB) was used to study the compressibility of shear thickening fluid (STF) at high deformation rate. In this study, a steel bulk was introduced into the SHPB system to confine and load the STF. A series of STFs with different particle types (SiO2 and PSt-EA) and volume fractions (63 vol.% and 65 vol.%) were tested and the results were compared. The reliability of the results was proved by repeating the tests and the force balance in suspension. The bulk modulus was used to evaluate the compressibility of STF, which indicated that the SiO2-based STF exhibited a larger compressibility than the PSt-EA-based STF. It was found that the bulk modulus increases with increasing of the strain rate and the volume fraction shows little effect on the bulk modulus. The structure-dependent mechanical property was analyzed and the loading effect of bulk modulus was considered to be originated from the interparticle clustering.