Can Shanghai social security be transferred to Shenzhen?

You need to go to Shanghai Social Security to check whether Shenzhen Social Security has transferred to Shanghai before. If it has been transferred, Shanghai Social Security needs to issue a payment voucher and bring it to Shenzhen Social Security to apply for transfer. If you haven't transferred to Shanghai, you need to wait for the transfer to be completed.

The medical payment voucher should be transferred together with the transfer of the pension relationship in Shenzhen. Didn't your company in Shanghai transfer your pension relationship? (Old-age insurance payment voucher and medical payment voucher should be handed over to the company for processing)

Further reading: How to buy insurance, which is good, and teach you how to avoid these "pits" of insurance.