This paper analyzes the climate change of Hong Kong, China based on the climate data of Hong Kong, China observatory from 1884 to 1939, and from 1947 to 2016, using the Mann-Kendall trend test, the t-test, the wavelet transform, and the cross-wavelet transform. The results of the Mann-Kendall test and the ttest show that during the first period from 1884 to 1939, the growth rates of the annual average minimal and maximal temperatures in Hong Kong, China are equal, while in the second period from 1947 to 2016, the growth rate of the annual average minimal temperatures is significantly higher than that of the annual average maximal temperatures. For doing the temperature mutation test, the missing data of the period from 1940 to 1946 is has been imputed by China, Macao’s data in the same period with appropriate modification. The result shows that the temperature had a significant mean abrupt change in 1958 in Hong Kong, China, and 1997 was a suspected year of abrupt change. The wavelet transform shows that there exist multi-scale periodic changes in temperature and precipitation in Hong Kong, China, where the first major periods of temperature and precipitation were 52a and 42a respectively; the crosswavelet analysis shows that the ENSO characteristic values Nino3.4 and SOI, the correlation with temperature, and precipitation in the whole time is not significant, but there exists a local correlation.