This study analysed the variations of relative humidity (RH) over the past 60 years in Shenzhen—an emerging megacity located in the Pearl River Delta region of China. The analysis revealed three stages of mean annual RH in Shenzhen since 1961: (1) a stable period with little change from 1961 to 1980; (2) a fluctuating downward trend from 1981 to 2008, with a linear transformation of −2.5%/decade, explained by a decrease in water-retention capacity in the underlying surface caused by the rapid expansion of the urban and built-up land area in Shenzhen; and (3) a fluctuating, rapid upward trend since 2009, with a linear transformation of 5.2%/decade. The rising RH after 2008 was related to policies of the Shenzhen government that were commenced in 2004, aimed at improving the city's ecological environment. The policies included increasing vegetation cover and improving environmental quality coinciding with the gradual expansion of the urban and built-up areas. The resulting increase in water-retention in the underlying surface produced the gradual increase in RH. The data concerning variations in RH and their causes in Shenzhen show that the orderly expansion of urban and built-up land areas, and ecological environmental improvements can be achieved concurrently in densely populated cities, allowing elements of the local climate to return to their natural state to some extent.