Can get instant visa to shenzen from malaysian in hongkong?

Normally, you could apply for the visa after you arrive at Hong Kong and you can check the instructions by visiting the following page: https://www.travelchinaguide.com/embassy/visa/extension.htm

Personally, it will be convenient for you to apply for the visa in your own country before your departure. Anyway, you may consult the local Chinese embassy for the details.