We express parallel transport for several common matrix Lie groups with a family of pseudo-Riemannian metrics in terms of matrix exponential and exponential actions. The expression for parallel transport is preserved by taking the quotient under certain scenarios. In particular, for a Stiefel manifold of orthogonal matrices of size $n\times d$, we give an expression for parallel transport along a geodesic from time zero to $t$, that could be computed with time complexity of $O(nd^2)$ for small $t$, and of $O(td^3)$ for large t, contributing a step in a long-standing open problem in matrix manifolds. A similar result holds for flag manifolds with the canonical metric. We also show the parallel transport formulas for the generalized linear group, and the special orthogonal group under these metrics.