With the fast urbanization process, how does the vegetation environment change in one of the most economically developed metropolis, Shanghai in East China? To answer this question, there is a pressing demand to explore the non-stationary relationship between socio-economic conditions and vegetation across Shanghai. In this study, environmental data on vegetation cover, the Normalized Difference Vegetation Index (NDVI) derived from MODIS imagery in 2003 were integrated with socio-economic data to reflect the city’s vegetative conditions at the census block group level. To explore regional variations in the relationship of vegetation and socio-economic conditions, Ordinary Least Squares (OLS) and Geographically Weighted Regression (GWR) models were applied to characterize mean NDVI against three independent socio-economic variables, an urban land use ratio, Gross Domestic Product (GDP) and population density. The study results show that a considerable distinctive spatial variation exists in the relationship for each model. The GWR model has superior effects and higher precision than the OLS model at the census block group scale. So, it is more suitable to account for local effects and geographical variations. This study also indicates that unreasonable excessive urbanization, together with non-sustainable economic development, has a negative influence of vegetation vigor for some neighborhoods in Shanghai.