Heavy-duty trucks (HDTs) in road freight are a primary contributor of PM2.5 and NOX emissions in many cities. Shenzhen, a megacity of China, has already made great efforts to promote the green transport transition, including via the Liquefied Natural Gas (LNG) HDTs program, which may be the largest alternative fuel vehicle promotion program in the world. In order to fully understand the actual efficiency of such program, the economic and environmental impacts of LNG HDTs were analyzed in this study. The results revealed that, while the capital cost of LNG HDTs is higher than that of diesel HDTs, the aggregated cost during the entire operation period of LNG HDTs is 10% to 17% lower than that of diesel HDTs. By replacing existing diesel HDTs mode (including China-I to China-V) with LNG HDTs (100%), environmental impact analysis showed that PM2.5 and NOX emissions could be reduced by 96.7% and 73.2% in the city level, respectively. Moreover, the environmental benefits of using purely LNG HDTs versus just China-V diesel HDTs were also compared, which indicated that LNG substitution is superior to China-V, with a reduction of 20.9% for PM2.5 and 35.4% for NOX, respectively. Overall, the effectiveness of the promotion of LNG HDTs is notable in Shenzhen, and these findings could provide references for other cities to promote LNG HDTs and beyond.