The typhoon disaster chain is one of the leading climate risks in constructing the Guangdong–Hong Kong–Macau Greater Bay Area (GBA). In this study, the risks of the typhoon disaster chains including typhoon-induced gales, rainstorms, and storm surges in the GBA, as well as the comprehensive risk of typhoon disaster, are investigated at county level by comprehensively analyzing the hazard, exposure, and vulnerability. The results show that the high- and very-high-risk areas of typhoon–gale disaster chain are located in Zhuhai, Zhongshan, Foshan, Dongguan, central-southern Jiangmen, southern Shenzhen, and parts of Huizhou. The high- and very high-risk areas of typhoon–rainstorm disaster chain include Zhuhai, Zhongshan, Shenzhen, central-southern Foshan, northern Dongguan, central Jiangmen, and central Huizhou. Regarding the typhoon–storm surge disaster chain, the areas at high and very high risk are located in Zhuhai, eastern Zhongshan, and the coastal areas of the Pearl River Estuary. In addition, the comprehensive risk of typhoon disaster is very high in Zhuhai and high in Zhongshan, Jiangmen, Dongguan, and Shenzhen. By verifying the spatial correlation between typhoon disaster risk indexes and actual losses, it is found that the comprehensive risk index of typhoon disaster constructed in this study can better reflect the actual losses. Overall, the findings of this study can provide a scientific basis for typhoon disaster prevention and mitigation in the GBA, and it can also serve as a reference for typhoon disaster risk research in other areas.