How to go to Hong Kong Airport from Shenzhen North railway station

You can go take the subway Longhua Line to reach Citizen Center Station where you can change to Shekou Line to reach Shekou Port where you can find ferry for HKIA directly.

Make sure you get the ferry ticket in advance! You need to arrive Shekou to check-in at least 2.5hour before flight departure, and there's no guarantee the ferry ticket will be available.

I commute between Shenzhen and HKIA often. Apart from shuttle service run by the private operators, i think it's best you find your way to the Louhu checkpoint, clear the 2 immigrations and take the MTR to next station Sheung Shui. At bus stop just outside the station board bus A43. It takes you direct non-stop to HKIA departure level. Journey is under 40mins, and the route is scenic.

Dont be intimidated with the crowd at the checkpoint. Most of it are Hongkongers and Mainland residents. There are separate rows for foreigner immigration.