As a crucial “sink” for terrigenous material entering the ocean, provenance of sediments within the coastal zone and continental shelf sea regions holds significant scientific importance in the investigation of global material cycling. Environmental magnetism was proved as an effective and rapid approach for sediment source identification. Detail and systematic magnetic measurements were performed for surface sediment samples collected from the mega Pearl River, local small rivers (Tan, Moyang and Jian rivers) of west Guangdong, coastal zone (CZ) and continental shelf (CS) to analyze the contribution of local small watersheds to marine sediments. The results indicate that detrital river input magnetite and hematite are coexisted in both CZ and CS sediments. Compared to CZ sediments, relatively higher concentration of hematite and finer grain size of magnetite are appeared at CS sediments. By comparing of magnetic parameters, it was inferred that magnetic minerals from the Pearl and Tan rivers are transported and deposited on the coastal zone by Guangdong longshore current. Meanwhile, sediment magnetic parameters in the Moyang and Jian Rivers are similar to the CS sediments, implying the two rivers-sourced materials were directly transported and deposited at the CS due to their narrow and restricted estuaries, and/or the CS preserves the residual deposits from the two rivers formed during the Last Glacial. Except for the Pearl River, sources of local small rivers significantly contribute to marine sediments at the coastal zone and continental shelf.