Hi, there is no direct train from Shenzhen to Lijiang. You have to take soft seat train Guangzhou so as to catch a train to Kunming, where you can take train to Dali and then connect a train to Lijiang. That is to say, the train route is Shenzhen/ Guangzhou/ Kunming/ Dali/ Lijiang. It is really very hard to make the transfers. So I suggest you take the direct flight from Shenzhen to Lijiang.