Sense of community (SOC) has been one of the most studied topics in community psychology. However, no empirical study to date has investigated SOC in Hong Kong and its relations with community characteristics and residents' psychological well-being. A representative sample of 941 Hong Kong Chinese based on a randomized household survey was conducted in all 18 districts in Hong Kong. Results of hierarchical linear modeling indicated that SOC was not associated with sociodemographic indicators on both the individual-level (i.e., gender, age, family income, education level, type of residence, and area-to-capita ratio of residence) and the community-level (i.e., proportion of individuals with tertiary education, median family income, ownership of residence, population density, and resident stability). SOC was negatively related to daily hassles and positively with social support and quality of life. Conceptualization of SOC in Hong Kong was discussed.