Data Envelopment Analysis (DEA)has been extensively used to measure the efficiency of a wide number of different institutions. In this paper, we use DEA to construct a CCR (1)model which has two inputs and three outputs. By using the EMS1.3 (2)software to analyze urban construction efficiency of the largest cities, including Beijing, Tianjin and Shanghai, rolling over 19 years from 1986 to 2004, we highlight some key findings which will be beneficial to the urban development in China. It indicates that the year of 1993 was a watershed, because the efficiency of three cites was better than before. Especially, urban construction in Tianjin was more efficient after 1993. And Beijing and Shanghai were efficient in most years after 1993. Only one or two years were lack of efficiency.