With the increasing proportion of various unbalanced loads in the power grid, power quality is seriously challenged. It is of great significance to effectively detect, analyze, and evaluate the power quality problems. First, this paper introduces the current situation of power quality (PQ) disturbance detection methods. It summarizes that the current PQ disturbance detection methods include Wavelet Transform (WT), Hilbert–Huang Transform (HHT), and Ensemble Empirical Mode Decomposition (EEMD). EEMD has a better detection accuracy, but its running time is longer. Therefore, to reduce the running time of the EEMD algorithm, this paper proposed two improvements: increasing the screening threshold and selecting piecewise cubic Hermite interpolation polynomial fitting. At the same time, the mathematical models of transient power quality disturbance and harmonic were established for comparative verification. The experimental results showed that the improved Ensemble Empirical Mode Decomposition (IEEMD) algorithm greatly reduced the running time of the algorithm on the premise of ensuring the detection accuracy. Hence, the improvement of this paper is of great significance for the industrial application of the EEMD algorithm.