Surface wind directly affects human life, wind energy utilization, the atmospheric environment, and many other aspects. The Guangdong–Hong Kong–Macau Greater Bay Area (GBA) megalopolis is experiencing an accelerated progress of urbanization, which may result in the change in surface roughness and atmospheric characteristics. In this study, urbanization effects on surface wind speed (SWS) in the GBA megalopolis, particularly Zhuhai, is investigated by using long-term automatic meteorological measurements, ERA5 reanalysis, and nighttime light data. Results of the analysis show that the averaged SWS has decreased significantly at a rate of −0.53 m s−1 per decade over the past decades. With the help of observation-minus-reanalysis (OMR) method, which excludes the atmospheric circulation effects, we found that the decrease in SWS is mainly contributed by the increase in surface roughness, which may account for as much as 75.5% of the decrease. In other words, it is the rapid development of urbanization, rather than the change in large-scale circulation, that could be mainly responsible for the decrease over the GBA in the context of the increasing global SWS since 2010. In addition, a fan-sector method is established to quantitatively analyze the correspondences between urbanization and roughness changes. It is shown that the decrease in wind speed due to surface roughness change is significantly related to the increase in the nighttime light index (NLI) averaged over the 3 km upstream fan-sectors. Moreover, their correlation reaches to 0.36 (negative) when only accounting for the samples of NLI greater than 10. In general, the fan-sector method offers an additional option for assessing the urbanization effects on SWS.