Lipid biomarkers in sediments in the Pearl River Estuary (PRE) have been studied in several previous studies, but little is known about their occurrence in the overlying water. Here, we determined the concentrations of lipids (n-alkanes, n-alkanols, sterols and fatty acids) in suspended particulate matter (SPM) in surface water and in sediments from the PRE. The data will improve our understanding of the sources, transport and sedimentation of lipids in estuarine environments. Our results showed that short-chain (C14–20) n-alkyl lipids contributed more than long-chain (C21–34) n-alkyl lipids to the total lipid concentrations in both SPM and sediments, suggesting aquatic plants and bacteria were the main contributors, whereas terrestrial organic matter (OM) were the minor contributors of n-alkyl lipids. It suggested that phytoplankton and bacteria contributing >65% to the n-alkyl lipids of SPM based on the three end-member mixing models. The concentrations of most lipids, except n-alkanes, decreased quickly in the low-salinity mixing zone and slowly decreased thereafter, with a transient slight increased when the salinity was 20–25, which would have been caused by variations of primary production in the aquatic system. In May, when rainfall was highest, lipids were characterized by a substantial contribution of terrestrial n-alkanes in the upstream SPM. Microbial activity and lipid degradation were found to occur in the water, and were most intense in the low–salinity mixing zone. Terrigenous lipids contributed more to the total lipid concentrations in sediments than in SPM, which demonstrated that terrigenous OM is relatively recalcitrant, and aquatic phytoplankton-derived OM is labile.