The keys of studying urban sustainable development are material metabolism flux and efficiency. Metabolism flux of urban materials can only reflect the metabolism velocity, while its eco-efficiency can determine the metabolism capacity to support socio-economic development. The general model and the measure model of eco-efficiency were set up, based on the source recycle (decreasing the consumption of crude resources) and terminal recycle (decreasing the discharge of pollutants) of production and life. These models were employed to study material metabolism flux and efficiency in Shenzhen. Results showed water, energy and waste metabolism fluxes have increased since 1998 with constant socio-economic development, and their eco-efficiencies have also increased rapidly. When GDP rose by 2.7 times, the metabolism fluxes of urban water and electricity rose by 1.5 and 3.0 times, respectively. When added value of industry rose by 3.7 times, the metabolism fluxes of industrial water, electricity, energy, and waste rose by 1.9, 3.5, 2.7, and 2.0 times, respectively. When population rose by 1.5 times, the metabolism fluxes of residential water and electricity rose by 1.8 and 1.7 times, respectively. During the period, the resource efficiency, environmental efficiency, and eco-efficiency rose by 1.8, 3.7, and 2.3 times, respectively. Whereas the efficiency of material metabolism has been improved in Shenzhen, the scarcity of material resources has become more and more serious. Therefore, it is necessary to further improve the efficiency of material metabolism. The keys of improving the Eco-efficiency of urban material metabolism are the increasing of resources, and environmental efficiencies, and the establishment of recycling chain of the re-utilization of waste resources.