Hong Kong and Macao are Special Administrative Regions in China and share many characteristics. As a key industry in both regions, banking has undergone profound changes over the course of the past 15 years. Using a data envelopment analysis approach, this paper comparatively analyses the evolution of technical efficiency and productivity change of major commercial banks in Hong Kong and Macao. The results obtained therein suggest that banks in Hong Kong and Macao operate with a relatively high level of efficiency and moderate productivity growth. Macao banks seem to outperform Hong Kong counterparts in terms of both technical efficiency and productivity growth. Interestingly, there are considerable variations in technical efficiency and productivity change amongst various groups of differently sized banks, while technical growth is the main reason for total factor productivity growth in both regions.