Background Shenzhen’s rapid growth and urbanisation has attracted a large, mobile, migrant working population. This article explores health protection through the means of social health insurance between migrants and registrants and their point of access to healthcare. Methods A cross-sectional questionnaire survey was conducted in Shenzhen, with a random sample of 793 registered and 750 non-registered residents. Chi-square test and multivariate logistic regression were applied to analyse the association between health insurance coverage with Hukou registration status and healthcare utilisation. Results Amongst 1543 respondents, 43.1% of non-registered residents were uninsured. Being non-registered strongly predicted for no insurance (OR = 5.00; CI 3.53,7.07) and have purchased additional/ private insurance (OR = 2.99; CI 1.66,5.37). Migrants who self-reported chronic health conditions were also more likely to utilise health services in general (OR = 2.77; CI 1.18,6.52). Conclusions Inadequate health insurance coverage for migrants as observed in Shenzhen remains a challenge for the Chinese health reform. Our results suggest that the current insurance system must seek to include migrants in order to achieve universal coverage and improved health protection for its population.