A healthy ecosystem is fundamental for sustainable urban development. Rapid urbanization has altered landscape patterns and ecological functions, resulting in disturbances to ecosystem health. Exploring the effects of urbanization on ecosystem health and the spatial relationships between them is significant for cities along the “Belt and Road” aiming to achieve sustainable regional development. This study took the Guangdong–Hong Kong–Macao Greater Bay Area (GBA) as an example and measured the urbanization level (UL) and ecosystem health index (EHI) from 2000 to 2020 using multisource data. We used bivariate spatial autocorrelation, the geographically weighted regression model (GWR), and the optimal parameters-based geographical detector (OPGD) model to clarify the impact of urbanization on ecosystem health and the spatial relationship between them from multiple perspectives. The major findings of this study were: (1) the EHI in the GBA decreased significantly during the study period, dropping from 0.282 to 0.255, whereas the UL increased significantly, exhibiting opposite spatial distribution features; (2) there was a significant negative spatial correlation between UL and the EHI and significant spatial heterogeneity between high–low and low–high types in the GBA; (3) the negative effects of urbanization on ecosystem health were predominant and becoming more pronounced in the central GBA. Moreover, urbanization had an increasingly significant negative effect, leading to the deterioration of ecosystem health, in the central GBA. Population urbanization drove land urbanization, which became the main factor affecting ecosystem health in the GBA. Overall, urbanization had a significant negative effect on ecosystem health, with this impact being particularly prominent in the core urban junctions of the GBA, which require urgent attention. The results of the study provide a basis for decision making in the context of the steady urbanization and ecosystem health protection of cities along the “Belt and Road”. © 2022 by the authors.