Magnetic impurities at surfaces of superconductors can induce bound states referred to as Yu-Shiba-Rusinov states (i.e., Shiba states) within superconducting (SC) gaps. For superconductors with strong spin-orbit coupling (SOC), Shiba states arising from even single magnetic adatoms are too complex to be fully understood using effective models alone because SOC cannot be treated perturbatively and multiple orbitals are strongly mixed with spin projections. Here we investigate Shiba states of single magnetic adatoms at the surface of strongly spin-orbit coupled SC Pb, by solving the fully relativistic Dirac-Bogoliubov-de Gennes equations using multiple scattering Green's function methods. For Fe and Co adatoms on Pb(110), we show that the Shiba states are better characterized by total angular momentum, $J$, and its projections on the $z$ axis, $m_J$. As a hallmark of the SOC effect, the Shiba states show a strong dependence of the orientation of the adatom moment. As the orientation of the Fe/Co moment changes, the deepest Shiba states merge at zero energy. This zero-energy state disappears with an additional non-magnetic adatom next to the magnetic adatom, although the other Shiba states unchange. For a Mn adatom on Pb, our Shiba states overall agree with experiments. The characteristics of our Shiba states are also observed with the similar energies and characters in the experiments. The deepest Shiba states that we compute, however, do not appear as close to the Fermi level as the experimental data. It would be interesting to compute the Shiba states with continuously varying vertical distances of the Mn adatom from the surface or with varying the charge state of the adatom, and to calculate the spatial dependence of the spectral density. Our findings will be also useful for understanding of Shiba states for dimers and longer spin chains on the Pb surface considering noncollinear magnetic structures in them.