The recently-developed general synthetic iterative scheme (GSIS), which is tailored for non-equilibrium dilute gas, has been extended to find the steady-state solutions of the non-equilibrium dense gas flows based on the Shakhov-Enskog model, resolving the problems of slow convergence and requirement of ultra-fine grids in near-continuum flows that exist in the conventional iterative scheme. The key ingredient of GSIS is the tight coupling of the mesoscopic kinetic equation and the macroscopic synthetic equations that are exactly derived from the kinetic equation. On the one hand, high-order terms computed from the velocity distribution function provide the higher-order constitutive relations describing the non-equilibrium effects for the macroscopic synthetic equations. On the other hand, the macroscopic quantities obtained from the macroscopic synthetic equations are used to guide the evolution of the velocity distribution function in the kinetic equation. The efficiency and accuracy of GSIS are demonstrated in several test cases, including the shock wave passing through a cylinder and the pressure-driven dense gas flows passing through parallel plates and porous media. The effects of denseness are analyzed in a wide range of gas rarefaction.