Considering the advantage of Empirical Mode Decomposition (EMD) for extracting the geophysical signals and filtering out the noise, this paper will first apply the EMD approach to post-process the Gravity Recovery and Climate Experiment (GRACE) monthly gravity field models. A 14-year time-series of Release 06 (RL06) monthly gravity field models from the Center for Space Research (CSR) truncated to degree and order 60 from the period April 2002 to August 2016 are analyzed using the EMD approach compared with traditional Gaussian smoothing filtering. Almost all fitting errors of GRACE spherical harmonic coefficients by the EMD approach are smaller than those by Gaussian smoothing, indicating that EMD can retain more information of the original spherical harmonic coefficients. The ratios of latitude-weighted RMS over the land and ocean signals are adopted to evaluate the efficiency of eliminating noise. The results show that almost all ratios of RMS for the EMD approach are higher than those of Gaussian smoothing, with the mean ratio of RMS of 3.61 for EMD and 3.41 for Gaussian smoothing, respectively. Therefore, we can conclude that the EMD method can filter noise more effectively than Gaussian smoothing, especially for the high-degree coefficients, and retain more geophysical signals with less leakage effects.