The Ecological Protection Redline (EPR) is an innovative measure implemented in China to maintain the structural stability and functional security of the ecosystem. By prohibiting large-scale urban and industrial construction activities, EPR is regarded as the “lifeline” to ensure national ecological security. It is of great practical significance to scientifically evaluate the protection effect of EPR and identify the protection vacancies. However, current research has focused only on the protection effects of the EPR on ecosystem services (ESs), and the protection effect of the EPR on ecological connectivity remains poorly understood. Based on an evaluation of ES importance, the circuit model, and hotspot analysis, this paper identified the ecological security pattern in Guangdong–Hong Kong–Macao Greater Bay Area (GBA), analyzed the role of EPR in maintaining ES and ecological connectivity, and identified protection gaps. The results were as follows: (1) The ecological sources were mainly distributed in mountainous areas of the GBA. The ecological sources and ecological corridors constitute a circular ecological shelter surrounding the urban agglomeration of the GBA. (2) The EPR effectively protected water conservation, soil conservation, and biodiversity maintenance services, but the protection efficiency of carbon sequestration service and ecological connectivity were low. In particularly, EPR failed to continuously protect regional large-scale ecological corridors and some important stepping stones. (3) The protection gaps of carbon sequestration service and ecological connectivity in the study area reached 1099.80 km2 and 2175.77 km2, respectively, mainly distributed in Qingyuan, Yunfu, and Huizhou. In future EPR adjustments, important areas for carbon sequestration service and ecological connectivity maintenance should be included. This study provides a comprehensive understanding of the protection effects of EPR on ecological structure and function, and it has produced significant insights into improvements of the EPR policy. In addition, this paper proposes that the scope of resistance surface should be extended, which would improve the rationality of the ecological corridor simulation.