Performance and reliability of any rotating machine can be studied by proper dynamic analysis of the machine. In this regard, this paper presents the method to study the dynamic response of the shaft of a Pelton turbine due to the impact of water jet. Equations of motion for the bending vibration of Pelton turbine assembly, in two transverse directions, is developed by using Lagrange equation of motion with the help of assumed modes method. The Pelton wheel is assumed as a rigid disk attached on Euler-Bernoulli shaft. The impact provided by the water jet is represented in the form of Fourier series. Critical speeds of the system are determined by performing free vibration analysis and presented in the form of Campbell diagram. The response plots due to impact of water are generated by performing forced response analysis. Both free and forced analyses are carried out by considering first three modes of vibration.