The output dynamic characteristics of permanent magnet synchronous generator (PMSG) wind turbines (WTs) significantly influence system damping and, consequently, its stability and electrical oscillations. It is generally assumed that these characteristics are determined solely by the electrical subsystem due to the relatively soft shaft. However, with the sharply increasing capacity, the PMSG’s shaft inevitably becomes stronger, yet there are few studies verifying its significance in the coupling between mechanical and electrical subsystems when investigating electrical oscillations in grid-connected PMSG-WTs systems. In this paper, an impedance model of PMSG-WTs, including both the mechanical shaft subsystem and the electrical subsystem, is established to specifically examine electrical oscillation issues. Based on this impedance model, the mechanism of electro-mechanical coupling on harmonic transfer within the PMSG-WTs is studied, revealing the non-negligible influence of the mechanical subsystem on the output impedance characteristic of PMSG-WTs. It is demonstrated that the mechanical shaft subsystem, with different rotor inertia and shaft damping coefficients, affects the harmonic transfer between mechanical and electrical subsystems, thereby impacting the output impedance characteristics of PMSG-WTs and system stability. Finally, simulation results verify the effect of electro-mechanical coupling on system stability.