The physiological changes following a deep inspiratory gasp (DIG) manoeuvre have been described in the literature. However, the lack of a reliable signal processing technique to visualize and quantify these physiological changes has so far limited the applicability of the test to the clinical setting. The main aim of this study was to assess the feasibility of using wavelet analysis to quantify the pulse arrival time (PAT) and its changes during the DIG manoeuvre. Vascular responses were extracted from cardiac (electrocardiogram, ECG) and peripheral pulse (photoplethysmography, PPG) waveforms. Wavelet analysis characterized their cardiovascular responses in healthy adult subjects in the time-frequency space, and for the ECG-PPG inter-relationship in terms of the PAT. PAT showed a characteristic biphasic response to gasp, with an increase of 59 ± 59 ms (p = 0.001) compared to the maximum value reached during quiet breathing, and a decrease of -38 ± 55 ms (p < 0.01) compared to the minimum value during quiet breathing. The response measures were repeatable. This pilot study has successfully shown the feasibility of using wavelet analysis to characterize the cardiovascular waveforms and quantify their changes with DIG.