This paper first analyzes the basic situation of the present modern industry system of Shenzhen. From the perspective of modern industry，Shenzhen has basically formed a “cascade modern industry system”. The strategic industry continues to grow，the internal structure of the service industry is further optimized and the advanced manufacturing industry is advanced. From the point of view of the key sub-areas，some products in the field of industrial software and intelligent control have entered the international market and reached the international first-class level，marine economic development has made some breakthroughs，the leading position in the technical innovation in the field of pharmaceutical industry and the main financial cooperation in Hong Kong. Although Shenzhen’s construction of modern industrial system has made some achievements，there are still some problems，such as large external dependence on industry，obvious shortage of some industries，too much reliance on electronic communication in industrial structure，optimization and promotion of supporting environment，and limited cooperation between Shenzhen and Hong Kong. In the future，Shenzhen needs to accelerate the construction of planning policy system，optimize and perfect innovation chain，actively carry out foreign cooperation，continuously optimize system environment，build modern industrial development highland to build development community of Dawan district，etc.