This paper studies the evolution of the industrial structures of Shenzhen，and the evolution power of the industrial structures of Shenzhen is：local government’s policies，central government’s policies，business costs and urban planning. The local government and the central government reflect the direct roles of the governments in the economic transition. The business costs improve the home court function and the urban planning is the government’s guiding role in the industry development. The economic structures of Shenzhen can be transited relatively smoothly and well，and the theory for that is close to the comparative advantage and the theory of new structural economics. Industrial structural transformation and enterprise relocation of Shenzhen are the results that Shenzhen government and enterprises continue to seek the local comparative advantages，and the government abides by the market rules，formulates regulations and feasible industrial policies as well as urban development spatial alternation，which achieves dynamic comparative advantage adjustments and makes the economic growth maintain the vitality. Observed from the market behaviors，the local area in Shenzhen can not only cultivate the entrepreneurs and entrepreneurship but also attract the entrepreneurs，while the entrepreneurs are endowed with the ability to seek for comparatively dynamic advantages. The combination of government and enterprise forms the continuously upgrading comparative advantages of Shenzhen industries.