After 1979，Shenzhen carried out the system reform of market economy by undertaking the “three to one supplement” trade transferred from Hong Kong and other places，and became the forefront of China’s reform and opening up. With rounds of industrial upgrading and replacement，Shenzhen has gradually climbed from low-end processing to high-tech industries，and then developed advanced manufacturing industries and a number of industries facing the future. At present，Shenzhen proposes to build a global innovation capital. Therefore，this paper sorts out the industrial development process and innovation strategic positioning of Shenzhen，and sums up six major construction priorities of Shenzhen，such as strengthening university construction，creating innovation areas，attracting talents，breaking through institutional barriers，linking innovation in Bay Area and improving public services. The research shows that Shenzhen constantly improves the soft and hard conditions and institutional mechanisms of innovation through institutional reform，and makes up for the shortcomings of basic research，public services，factor resources，etc. with the help of the vast hinterland of Guangdong-Hong Kong-Macao Greater Bay Area，and the prospect of building a first-class international innovation capital is worth looking forward to.