Lidar can quickly realize non-invasive measurement of atmospheric wind field and obtain accurate wind vectors. In order to verify the feasibility of turbulence observation with lidar and obtain the turbulent characteristics, an observation experiment was carried out in Shenzhen, China, by using coherent Doppler lidar. According to the principle of Reynolds decomposition, wavelet decomposition is used to obtain the turbulent pulsating and analyze the turbulent motion characteristics. The results show that daily average turbulence intensity in Shenzhen presents a “single peak and single valley” structure, which is correlated with the temperature change during the observation. The vertical transportation caused by turbulent kinetic energy is mainly concentrated after 12:00 in the daytime and the correlation coefficient between turbulent kinetic energy and turbulent dissipation rate is 0.77. The turbulent power spectral density is basically consistent with Kolmogorov “-5/3” law in the inertial sub-range. The research results verify that the wind lidar can estimate the turbulence parameters accurately.