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The population aggregation and economic development caused by urbanization significantly influence the efficiency of urban resource consumption. However, the coupling interactions between crucial resource consumptions such as food, energy and water (FEW) and urbanization processes within highly urbanized areas has not been well-studied. In this study, we constructed an assessment framework for the coupling efficiency measurement of FEW resource consumptions in 10 administrative districts across Shenzhen megacity during 2012–2020, based on the data envelopment analysis (DEA). This study demonstrated that, from the perspective of the FEW nexus, increasing efficiencies in the energy consumption of most districts improved the municipal FEW efficiency, while more than half of the districts did not achieve water resource efficiencies throughout the period. Concerning regional economic development, 80% of the districts improved coupling FEW efficiencies by 2020, the average values of which were higher for Yantian, Nanshan, Luohu and Dapeng, and lower for Baoan, Longgang and Guangming, with a downtrend only being observed in Guangming. Overall, the value of the coupling FEW efficiency of Shenzhen megacity rose by 35% from 2012 to 2020. Correlation analysis showed that synergistic effects of efficient resource consumption occurred in most districts, and economic urbanization was the main driving factor of regional FEW efficiencies within Shenzhen megacity. This study provides instructive insights into the status of urban resource consumption and suggests that the coordination of FEW management should be further improved by fiscal intervention to maintain economic development with the limited resources available, which would have valuable implications for synergistic FEW governance in megacities in China and elsewhere. [ABSTRACT FROM AUTHOR]