In the context of accelerating trend of globalization and the rapid development of knowledge-based economy，innovation has become the optimal-elected way to remain the leading position in the competition among nations，regions，and cities. China has also been clearly put forward the construction of an innovative country as a strategic choice for the future. This paper focus on this particular perspective on special economic zones on the basis of analyzing the initial success achieved in innovation of special economic zones. By using principal component analysis method，we build an evaluation index system of each zone’s/city’s innovation capability. This index is used to measure level of innovation among 22 cities including the 5 special economic zones. Based on the measurement，we point out the lack of innovation of special economic zones and restrictive factors. Finally，we propose appropriate advice and suggestions for the improvement of innovation.