There is only one train Station in Hong Kong, which is Hung Hom Station, located in the Southwest of Hung Hom. And there are no trains going to Shenzhen directly from Hong Kong. You need to take the MTR to Luo Wu Station in Hong Kong first, and passing the Luo Wu port, you will reach Shenzhen. It costs around 40rmb and around 45mins.

The MTR to Luo Wu passes the following stations like East Tsim Sha Tsui Station, Hung Hom Station, Mong Kok East Station, Tai Wai Station, Sha Tin Station, Fo Tan Station, Racecourse Station, Tai Po Market Station, Tai Wo Station, Fanling Station and Sheung Shui Station. About more details, you could visit the official web for MTR.

From Shenzhen to Guangzhou, there are many D trains operating, which take around 1hr, and soft seat ticket price is about CNY80.