Reliable civil registration and vital statistics (CRVSs) are essential for estimating mortality rates and population changes, and are critical for public health and socio-economic planning. CRVSs are largely incomplete in Africa, thus Health and Demographic Surveillance Systems (HDSSs) fill gaps in CRVSs, albeit existing HDSSs in South Africa are in rural areas. This limits the generalisability of such data in a country such as South Africa where over 60% live in urban areas, and where there are limitations to access health and social services. We describe the approaches, achievements, challenges and lessons learned in setting up a HDSS site in Soweto and Thembelihle (SaT-HDSS), Johannesburg; which is the first urban-based HDSS in Southern Africa. We also highlight a number of studies being implemented in the HDSS. In 2017-2020, the HDSS has enrolled 124,169 individuals and followed up 95% of this population through 3 rounds of data collection. Several challenges were encountered during the initiation of the HDSS, including difficulties in community mobilisation and entry, stakeholders' engagement and participation, inaccessibility problems and concerns about safety of fieldworkers, and difficulty in getting/recruiting technical staff with requisite experience. Nevertheless, the SaT-HDSS was successfully established through application of several strategies, including continuous community engagement and stakeholders' mobilisation; in-depth training and retraining of all study staff; technical support from well-established HDSS sites across Africa, and international academic collaborations. Despite the challenges of undertaking routine surveillance of a hard-to-reach and highly mobile population, the SaT-HDSS was successfully established with a high-retention rate. The HDSS offers an important lens on morbidity and mortality and serves as a platform for pilots of interventions and programmes aimed at improving health and well-being of an urban population.