Shenzhen is China’s top ten clean air city and the cleanest air megacity. Even so, epidemiologic studies have shown ambient air pollution had significant adverse impacts on human health in this less polluted city. In this study, the concentrations of six criteria air pollutants (PM2.5, PM10, O3, NO2, SO2, and CO) from 2014 to 2017 were analyzed and compared to thresholds of both national and international air quality standards. The results showed concentrations of all air pollutants were below target values of current national air quality standard, but levels of particulate matter (PM) and O3 were still much higher than the recommended levels by the World Health Organization. Within national air quality standards, the number of over-limit days was rare with few variations between highly polluted and low pollution areas. The air quality improvement was slowing down recently. Our results suggest annual and daily thresholds for PM are too loose for air quality improvement in Shenzhen. Hence, we call for evaluation and establishment of tougher air quality standard.