Spatial heterodyne spectroscopy (SHS) experimental system based on 940 nm water vapor absorption band is introduced. According to analysis of spectral resolution and bandwidth for water vapor detection,the system parameters are designed and the experimental equipment is developed. The performance test using tunable laser and cathode hollow lamp,and water vapor detection in the clear weather is conducted. The results show that the experimental equipment′s practical capability is in agreement with theoretical index. Moreover,the observed and the theoretical water vapor spectrum are also coincident. Those demonstrate the superiority of SHS technique in water vapor detection and retrieval.