The goal of this paper is to describe the formation of Kelvin-Helmholtz instabilities at the interface of two fluids of different densities and the ability of vari-ous shallow water models to reproduce correctly the formation of these instabilities. Working first in the so called rigid lid case, we derive by a simple linear anal-ysis an explicit condition for the stability of the low frequency modes of the inter-face perturbation, an expression for the critical wave number above which Kelvin-Helmholtz instabilities appear, and a condition for the stability of all modes when surface tension is present. Similar conditions are derived for several shallow water asymptotic models and compared with the values obtained for the full Euler equa-tions. Noting the inability of these models to reproduce correctly the scenario of formation of Kelvin-Helmholtz instabilities, we derive new models that provide a perfect matching. A comparisons with experimental data is also provided. Moreover, we briefly discuss the more complex case where the rigid lid is re-placed by a free surface. In this configuration, it appears that some frequency modes are stable when the velocity jump at the interface is large enough; we explain why such stable modes do not appear in the rigid lid case.< Leer menos