How can I go Shenzhen from kunming by train?

Hi, firstly, you should know that there is no direct train between the two cities. So you need transfence indeed. You can take a train to Guangzhou first. At Guangzhou, you can transfer to the train to Shenzhen.
For convenience, you can also book a train ticket in the website if necessary.
https://www.travelchinaguide.com/china-trains/