The construction of Guangdong-Hong Kong-Macao Greater Bay Area is a state-level strategy that was planned，deployed and promoted by General Secretary Xi Jinping. In 2018，General Secretary Xi Jinping visited Guangdong and made important instructions on the work of Shenzhen，requiring Shenzhen Municipal Party Committee and Municipal Government to seize the major opportunities in the construction of Guangdong-Hong Kong-Macao Greater Bay Area and enhance the core engine functions. Shenzhen has ushered in a new round of development opportunities and momentums. The Shenzhen Municipal Government’s work report in 2019 also stated that the whole city should promote the construction of the Guangdong-Hong Kong-Macao Greater Bay Area and enhance the core engine functions. Based on Shenzhen，this paper analyzes the basic situations of economic development of Guangdong-Hong Kong-Macao Greater Bay Area and combines Shenzhen’s future development trend to sort out the specific paths for Shenzhen to play its roles in technology innovation，industrial development，modern finance，foreign trade，reform and opening up，and business environment，and thereby to work together with other cities in the Greater Bay Area to build a first-class bay area with international competitiveness.