Understanding impacts of urbanization upon local wildlife is pivotal for fostering urban sustainability and biodiversity conservation. Urbanization can directly cause habitat loss and intensify interactions between wildlife due to habitat loss. Here we focus on a threatened flagship species, Chinese pangolin (Manis pentadactyla), in the eastern forests of Shenzhen, a megacity in China. We first conducted field surveys to uncover its fresh (used within a year) and abandoned burrows (unused > a year) and surrounding habitat characteries (elevation, slope, canopy closure, vegetation cover). We then deployed camera traps near the burrows to monitor the daily activities of the Chinese pangolin and sympatric species, and anthropogenic activities. These data were finally used to predict changes in habitat distributions/uses with species distribution models, and to statistically analyze the spatio-temporal relationships between the Chinese pangolin and its potential threats. We found the suitable habitats of pangolin burrows have been halved over the recent decade. In contrast to abandoned burrows, fresh burrows were more likely to be found at higher altitudes (200–500 m) and closer to reservoirs (300–500 m). Pangolins had strong spatial avoidance to presences of humans and domestic dogs, and reduced activities outside when potential predators were most active. We suggest that mitigating human disturbances in the eastern forests is crucial for the maintenance and recovery of the pangolin population in Shenzhen. Our study is among the first to shred a light on the impact of urban expansion on the Chinese pangolins and provides habitat maps and ecological knowledge of the Chinese pangolin for the forest restorations and conservation planning in Shenzhen.