Foams are widely used in protective applications requiring high energy absorption under impact, and evaluating impact properties of foams is vital. Therefore, a novel test method based on a shock tube was developed to investigate the impact properties of closed-cell polyethylene (PE) foams at strain rates over 6000 s−1, and the test theory is presented. Based on the test method, the failure progress and final failure modes of PE foams are discussed. Moreover, energy absorption capabilities of PE foams were assessed under both quasi-static and high strain rate loading conditions. The results showed that the foam exhibited a nonuniform deformation along the specimen length under high strain rates. The energy absorption rate of PE foam increased with the increasing of strain rates. The specimen energy absorption varied linearly in the early stage and then increased rapidly, corresponding to a uniform compression process. However, in the shock wave deformation process, the energy absorption capacity of the foam maintained a good stability and exhibited the best energy absorption state when the speed was higher than 26 m/s. This stable energy absorption state disappeared until the speed was lower than 1.3 m/s. The loading speed exhibited an obvious influence on energy density.