Geographically weighted regression (GWR) is a classical method for estimating nonstationary relationships. Notwithstanding the great potential of the model for processing geographic data, its large-scale application still faces the challenge of high computational costs. To solve this problem, we proposed a computationally efficient GWR method, called K-Nearest Neighbors Geographically weighted regression (KNN-GWR). First, it utilizes a k-dimensional tree (KD tree) strategy to improve the speed of finding observations around the regression points, and, to optimize the memory complexity, the submatrices of neighbors are extracted from the matrix of the sample dataset. Next, the optimal bandwidth is found by referring to the spatial clustering relationship explained by K-means. Finally, the performance and accuracy of the proposed KNN-GWR method was evaluated using a simulated dataset and a Chinese house price dataset. The results demonstrated that the KNN-GWR method achieved computational efficiency thousands of times faster than existing GWR algorithms, while ensuring accuracy and significantly improving memory optimization. To the best of our knowledge, this method was able to run hundreds of thousands or millions of data on a standard computer, which can inform improvement in the efficiency of local regression models.