Can Shenzhen firefighters apply if they are not locals?

Yes. According to the information on the official website of the Shenzhen Fire Department, registration for Shenzhen firefighters is not limited to household registration. You can register with a high school degree or above, so non-locals can register. Shenzhen City, referred to as "Shenzhen", also known as Pengcheng, is a prefecture-level city under the jurisdiction of Guangdong Province, a city separately listed in the national plan, and a megacity.