Shenzhen borders on Hong Kong. They are close to each other. The trains from Guangzhou to Hong Kong pass Shenzhen. But they don't stop at Shenzhen railway station. So, it's better to take a cross-border bus to go to Hong Kong.You can take the bus at Shenzhen Bao'an Bus Station or just go to the Huanggang border to take it. The buses depart from Bao’an Bus Station every one hour. The service hours is from 08:00 to 20:00. Bao’an Bus Station is located Anmin 1 Road, Bao’an District, Shenzhen. The single trip needs about 70 minutes and the ticket fare is CNY60/70/160.

The buses from Huanggang border to Hong Kong Int’l Airport depart there at 07:30, 08:45, 09:15, 10:15, 11:15, 12:15, 13:15, 14:15, 14:45, 15:15, 16:15, 17:15, 18:15 or 19:15.

Are you going straight from the HK airport to shenzhen or you are already in HK?

I would assume you are in HK already and is taking MTR (subway) from HK to shenzhen. Generally most tourists will take the MTR from Tsim shai shui to shenzhen luohu. The trip will take around 30-45mins.

From Hong Kong Airport to Luohu:

1. Take A43 From Airport to Sheung Shui Railway Station (上水）
Fare = 29.20 HKD / 5.6 SGD
Duration = less than 1hr

2. MTR Train from Sheung Shui station to Luohu staion (1 station)
Fare = 20 HKD / 3.8 SGD
Duration = 10 mins

Do you need a visa to get into Shenzhen from Hong Kong?

Yes, a China visa for USA passport holder when he enter into Shenzhen from HK>

The shuttle bus and MTR is expensive. The easy and cheapest way is to take an air bus from HKG airport to Sheung Shui rail station, when you get off from "Sheung Shui" rail station, take the train from "Sheung Shui" to "Lo Wu", this is the final stop in Shenzhen.