According to the Water Resources Bulletin in Shenzhen from 1995 to 2017,we analyzed the changes in precipitation, surface water resources amount, water consumption amount, water utilization structure, water consumption indicators and wastewater emission amount, and also compared these items with those of other big cities in China. On such basis, we assessed comprehensively the carrying capacity of water resources in Shenzhen using principal component analysis method by summing up 13 main indicators affecting the carrying capacity into two independent main components. Results unveil that in the recent two decades, water consumption in Shenzhen climbed dramatically with an average annual growth rate reaching 4.64%. Domestic water occupied the largest proportion of water utilization structure with an average of 35.76% over years, whereas industrial water or public water came second. The water consumption per 10,000 yuan GDP decreased by 89.3%, while the water consumption per 10 000 yuan industrial added value reduced by 85.5%. The results also imply that the carrying capacity of water resources in Shenzhen has generally risen during the past two decades. The level of water resources exploitation and management and social and economic development are important factors affecting the carrying capacity of water resources in Shenzhen, while the amount of local water resource amount has less impact. The contradiction of water supply can be solved by building new water diversion projects in Shenzhen in a short time; however, in the long run, Shenzhen should actively optimize the water use structure, accelerate industrial upgrading and fully tap the potential of urban water saving.