Both Hong Kong and Shenzhen do not have train to Xiamen. If you want to take train, you should get to Guangzhou first. Hung Homg Station in Kowloon has direct trains to Guangzhou East. Then take train from Guangzhou East to Xiamen. If you are in Shenzhen, take bus to Xiamen. In fact, bus is faster. It costs 190HKD from Hong Kong to Guangzhou East and about 200RMB (soft sleeper is more expensive) to Xiamen. Buy ticket at Hung Hom Train Station and Guangzhou East, better to book in advance.