Firstly, there is no train departing from Hong Kong Airport to Shenzhen. Once arrive at Hong Kong Airport, you could go to take the cross-border buses to Shenzhen directly. The bus schedule is list on the official website of Hong Kong Airport.

On the other hand, from Hong Kong Airport, you could take the bus A21 to its terminus at Hung Hon train station of Hong Kong. Here, you could transfer to the Hong Kong East Rail Line(https://www.travelchinaguide.com/cityguides/hongkong/transportation/mtr-rail.htm) to Luohu border in 50 minutes. Going through the border, you will enter into Shenzhen. This way will take a little long time but cheaper than the above one.