Innovation is the primary driving force behind development. From the perspective of cities and urban agglomerations，the advantages of agglomeration of a city are represented by the advantages of gathering high-end professional innovative talents and the advantages of division of labor and innovation. From the perspective of the Guangdong-Hong Kong-Macao Greater Bay Area，Shenzhen’s innovative economy has experienced the transformation from industrial upgrading to innovation driven development. The development process is internally due to Shenzhen’s effective market，promising government，and a vibrant society. Its external reason is inseparable from the collaborative innovation of the Guangdong-Hong Kong-Macao Greater Bay Area. In the future，Shenzhen will continue to follow the path of sustainable innovation development combining science and industry.