In order to solve the punch-through problem of the Jack-up platform in the soft clay area such as the South China Sea, the punch-through phenomenon of the Jack-up platform when penetrating in clay was verified by experiment, and the mechanism and solution for the punch-through were explored. In this paper, an experimental set for single leg penetration test under discontinuous loading was designed to simulate the preloading process of a real Jack-up platform with large spud-can, and a series experiments were performed to investigate the effect of the water jetting process for eliminating the risk of punch-through. The results show that the punch-through can occur in the clay layer under discontinuous loading, and the risk of the punch-through can be mitigated by reducing the loading rate or performing water jetting process. Thus, the present investigation is beneficial for safety operation of the jack-up platform in practice.