Hong Kong to Shenzhen

It is possible, but you may have to transfer to several times.
Asia World Expo Center to Tsing Yi by Airport Express Line; Tsing Yi to Nam Cheong by Tung Chung Line; Nam Cheong to Hung Hom by West Rail Line; Hung Hom to Lo Wu by East Rail Line. Pass the Luohu Port, you can reach Shenzhen.
Or you can take bus S1 to reach Tung Chung Station where you can easily find Citygate. At Citygate, you can find cross-border buses to reach Grand Theater in Shenzhen directly. The cross-border bus operates from 07:00 to 21:30 everyday.