The High-Speed Rail system plays a fundamental role in shaping new mobility habits; thanks to reduced times and high frequencies of services, it can induce new demand linked to opportunities previously considered inaccessible. Despite the ability to reconfigure people’s mobility habits, doubts remain regarding the direct causality between HSR and the formation of megacities, given the complexity of relationships between territorial economic development and HSR. While in literature concerning the Chinese socio-economic system development the idea takes shape that Megalopolis and HSR are two interconnected but distinct territorial policies, in which HSR is used to mitigate the negative effects of Megalopolis urban growth and contributes to the amplification of the Megalopolis economic effects, in the European context it is more difficult to investigate the causal relationships between HSR and Megacity formation, also because of the historical territorial development. Some studies have shown that the existence of High-Speed Rail between two cities is not sufficient to give rise to the benefits of a Megacity; in fact, a complex and coordinated system of actions is needed, both concerning the characteristics of the transportation supply, from the number of services to the existence of connections between smaller cities and the main centres connected by HSR, and appropriate territorial and economic development policies. Starting from this premise, this paper aims to look further into the links between some Italian realities, Milan—Turin (MiTo), and Naples—Rome (RoNa), which because of their characteristics are candidates to be defined as Megacities, in the sense of “polycentric human development”, which exist as separate entities but also as extended functional systems connected by transport infrastructures and flows of people, and HSR services operating between these cities for more than ten years. In particular, starting from the theoretical framework of the analysis regarding the link between HSR and Megacities provided by previous studies on the subject, the relationships between a selection of social, economic and transport indicators are investigated in order to deepen the interdependence knowledge of these various factors that contribute as a whole to the megacities phenomenon.