Fresnelets are wavelet-like base functions specially tailored for digital holography applications. We introduce their use in phase-shifting interferometry (PSI) digital holography for the compression of such holographic data. Two compression methods are investigated. One uses uniform quantization of the Fresnelet coefficients followed by lossless coding, and the other uses set portioning in hierarchical trees (SPIHT) coding. Quantization and lossless coding of the original data is used to compare the performance of the proposed algorithms. The comparison reveals that the Fresnelet transform of phase-shifting holograms in combination with SPIHT or uniform quantization can be used very effectively for the compression of holographic data. The performance of the new compression schemes is demonstrated on real PSI digital holographic data.