I am trying to get to Shenwei from Shenzhen. Is there a train from SZ to Shenwai?

Hello, I do not think there is a place called Shenwei, so I think you may mean Shanwei city, right?
If so, there is no train between the two places, so you may need to take the bus to reach there directly. From SZ Huanggang, Qiaoshe and Donghu Bus Stations, you can find frequent buses to reach Shanwei directly.

Linda, Yes you are right - it is Shanwei - oops! Thank you for your anwer. I will check into that.