Coaxial gun discharge plasma with high density and velocity has a number of potential applications in fusion energy, plasma refueling, disruption mitigation in tokamaks, plasma space propulsion, acceleration of dust particles to hypervelocity etc., and thus has become an important research topic in fields of nuclear physics and aerospace engineering. In this paper, we report the experimental investigation on electrical and transport characteristics of coaxial gun discharge plasma. Based on electrical and optical diagnoses, the discharge voltage, discharge current and axial velocity of plasma transport are measured. Meanwhile, the emission spectrum technology is employed to measure the Stark broadening of H spectral line and then plasma density is calculated. The experimental results show that the discharges in the coaxial gun present a feature of multiple discharges and blow-by instability phenomena are observed by photomultiplier acquired signals. In addition, the plasma velocity and density in the transport process are not constant. It is found that the axial plasma velocity in the transport process decreases due to mass gain caused by the snowplow model and the change tendency of plasma density in the transport process is dependent on various settings. A systematic study has been carried out for exploring plasma density change in transport process, and different experimental parameters are adopted in order to further analyze the physical mechanism of plasma density change in transport process. When the air pressure in the coaxial gun is changed from 4.0 Pa to 10 Pa, for 1.08 kJ applied power energy, an obvious difference appears in transport properties of plasma density, i.e., plasma density increases gradually in 4.0 Pa air while it increases first and then decreases in 10 Pa air. However, the plasma density increases continually in air pressure of 10 Pa when the power energy is increased to 7.68 kJ. Moreover, when the working gas is replaced with argon and discharge setting is 4.0 Pa pressure and 1.08 kJ applied power energy, the plasma density decreases continually in the transport process. The distinct behaviors, as analyzed, are mainly caused by plasma energy transformation difference in the transport process. As it is known, the plasma movement at high velocity in coaxial guns can ionize neutral particles and consume its energy, which results in the increasing plasma density and the decreasing electron and ion temperatures in the transport process. Then, a maximum density is present in the transport process when the electron and ion temperatures are lower than that at which gas ionization occurs. The axial location of maximum density changes with applied power energy, working gas pressure and species, which means that plasma energy transformation and density change properties in transport process strongly rely on different external parameters. The study provides some insight into how to better apply the coaxial gun discharge plasma to practical engineering field.