Coordinated development of urban agglomeration, industrial cluster and development zones is an important means to achieve sustainable and rapid development of urban agglomeration. The relationship and interactive mechanism among urban agglomeration, industrial cluster and development zone are clarified from the combined macro- and micro-perspectives provided in previous studies. Urban agglomeration is the main form of new urbanization and development spatial carrier of industrial cluster and development zone, providing production factors, services and market for development zones and industrial clusters; Development zone is an innovative and entrepreneurial area of urban agglomeration, which is also a significant place for industrial cluster, agglomeration development and important production function area of urban agglomeration; Industrial cluster, a major organizational form of industrial development, is a driving force for development zones and urban agglomerations. Industrial cluster and development zone share the resources and services with urban agglomeration. Development zone through industrial cluster and innovation, industrial cluster by extension of industrial chain, coupling and innovation, and urban agglomerations, shape multi-dimensional interaction in terms of factors of production, market transaction, innovation and service, to realize the coordinated development of the three aspects. Based on the 15 indexes of 4 aspects, such as the scale, structure, function and innovation of the urban agglomeration, industrial cluster and development zone, using the canonical correlation analysis method, taking Changsha-Zhuzhou-Xiangtan (Chang-Zhu-Tan) urban agglomeration as an example, this study makes a quantitative analysis of the interaction factors and intensity of the two major variables in urban agglomeration, industrial cluster and development zone. Our results suggest the following: (1) Chang-Zhu-Tan urban agglomeration, industrial cluster and development zone have formed effective interaction. By developing economic scale, city structure, innovation input and output and service function, the urban agglomeration promotes the economic scale, industrial clusters, economic benefit and industrial innovation, as well as the development of construction quality, industrial clusters and industrial benefit in a development zone. Raising industrial agglomeration and innovation efficiency of development zone, and improving industry scale, performance collaboration development zone efficiency of industrial cluster can strengthen the scale, structure, innovation and function of urban agglomeration. (2) The economic scale, structure, innovation and service are four factors that contribute overall to the development of industrial clusters and development zones of Chang-Zhu-Tan urban agglomeration, but industrial clusters and development zones do not fully cooperate to promote the development of urban agglomerations. (3) We should further enhance the efficiency of industrial cluster and development zone, strengthen its supporting role in urban agglomeration, realize the multi-dimensional benign interaction of the three aspects, and improve the core competitiveness of urban agglomeration.