The observatory on Thursday issued the Standby Signal Number 1 and said it would remain in effect until at least 6am on Friday.
The forecaster said a tropical cyclone located about 800 kilometres from Hong Kong could affect the city.
The broad area of low pressure in the South China Sea has become a tropical depression, it said.
The observatory said strong winds were not expected to have a significant impact on the region yet, but the tropical depression could move closer to the coast and strengthen slightly during Friday.
It said it would assess the need to issue the Strong Wind Signal No 3 based on the storm's intensity, as well as local wind conditions.