Shau Kei Wan is located east of Quarry Bay and west of Chai Wan. East to the Hong Kong Museum of Coastal Defence, Lei Yue Mun Resort and Tai Tam Road, west to the end of King's Road and the beginning of Shau Kei Wan Road. It is worth noting that although Lei Yue Mun Resort and Lei Yue Mun Fort are located in Shau Kei Wan, what Hong Kong people usually call Lei Yue Mun is located in Yau Tong, Kwun Tong District.

The west of Shau Kei Wan to the west of Haiyan Street is generally called Xiwanhe District, but the new reclamation area north of Tai 'an Building is generally called Lei King Bay. The northern part of Shau Kei Wan, north of the Island Eastern Corridor, is generally called Aldrich Bay; Near the Agong Rock Road in the east of Shau Kei Wan, it is generally called Agong Rock.