Can we get Visa when we are going through from HongKong as Indian passport holders?

You'd better apply for a China visa from the China embassy or consulate in your country in advance. If you are under tight schedule, you may use the express service. I remeber that Indian passport holders were not able to get a China visa in Hk in 2008 when the Olympic Games took place in China. I'm not sure whether the rule has been changed.