When I reach Baiyun airport Guangzhou, how & where to take train to shenzhen?

There is no train station at the airport.
I only know there is direct bus from Baiyun airport to reach Shenzhen directly.
If you want to take the train to reach SZ, it is suggested to take the airport express line 1 to reach the local Civil Aviation Ticket Office near the local railway station. Then you can take the bullet trains from the GZ railway station to reach SZ directly.