Digital technology has fully penetrated into social and economic life and has become a new driver of economic growth. How to build a sound digital infrastructure system for digital industrialization and industrial digitization? This is an important issue for Shenzhen to achieve high-quality development in the new era. Based on existing and available data, this chapter devises an index system for high-quality development of digital economy in Shenzhen, comprising an total index of Shenzhen’s digital economy development and ten sub-indices in user base, smart city, talent base, digital industry, digital service, digital innovation, foreign economic and trade cooperation of digital industry, trade in digital industries, digitalization of cultural industry, and digital transformation of the manufacturing industry. Then, an analysis was conducted into the total index and sub-indices, so as to shed light on the development of digital economy in Shenzhen over the past decade.