Urban safety and security is one part of achieving the urban sustainable development. This paper we focus on the study of urban safety and security of Shanghai, one of the most prosperous cities of China. This is the first attempt in this direction. The importance of developing an urban safety and security indicator system is proposed. And then the detailed indicator system is constructed. Based on the actual situation of Shanghai, the indicator system consists of four subsystems, urban infrastructure and urbanization, urban crime and violence, urban tenure insecurity and urban disaster. In total 52 indicators are selected based on the literature and field experiences to form the indicator system. We hope the indicator system constructed in this paper would be used to evaluate Shanghai's urban safety and security in our future works.