A simplified scenario of the annular purging jet issuing from the moving wafer stage in the lithography machine is established to study the interactions between the jet and the ambient fluid. Numerical simulations in the reference frame associated with the moving stage are carried out to delineate the dynamics of the purging jet under different ratios of the jet velocity to the moving velocity. As the velocity ratio increases, different flow patterns depict that the flow evolves from laminar to turbulent and from crossflow-dominated to purging-dominated. The behaviors of the leading-edge shear layer, i.e., breakthrough by the crossflow or impingement to the upper wall, are found to determine the flow pattern and influence the entrainment process. The shear layer dynamics are investigated by analogy to a counter-current mixing layer. The mixing layer ratio of the annular purging jet is obtained, suggesting the transition from absolute to convective instability. The infiltration flux into the inner region of the annular purging jet is evaluated, indicating the dominance of the leakage near the upper wall. The performance of the annular purging jet is assessed in terms of the effectiveness, the fraction of the infiltration flux prevented compared with the unshielded condition and is related to the flow unsteadiness. As the velocity ratio increases, the shielding effect is enhanced and the effectiveness of the annular air curtain increases monotonically with decreasing growth rate.