In China, the HIV prevalence among men who have sex with men (MSM) has been increasing sharply. A total of 195 Hong Kong MSM having had sex with men in Shenzhen, a mainland China city separated from Hong Kong by a border, were recruited from some randomly selected gay venues in Shenzhen. Participants were face-to-face and anonymously interviewed. The results showed that in the last six months, respectively 62.1, 84.6, and 31.3 % of the participants from Hong Kong had had sex with commercial sex partners (CSP), non-regular partners (NRP) and regular partners (RP) in Shenzhen. The prevalence of unprotected anal intercourse (UAI) with these three types of sex partners was respectively 29.8, 27.9, and 78.7 %. Factors associated with UAI with any MSM in Shenzhen in the last six months included perceived chances of contracting HIV, perceived non-availability of condoms, giving money/gifts to Shenzhen MSM sex partners, and perception that MSM partners in Shenzhen would not always insist on condom use (multivariate OR = 2.9-13.90, p < 0.05), whilst factors of inverse associations included university education, having had sex with NRP but not with CSP and RP in Shenzhen and self-efficacy of insisting on condom use (multivariate OR = 0.04-0.22, p < 0.05). In sum, the prevalence of having multiple types of male sex partners and UAI was high. This was especially true when anal sex with RP was involved. Cross-border HIV prevention is greatly warranted. It should ensure condom availability and modify perceptions toward UAI.