I will arrive at HKIA at 1900 and would like to know how to get to Shenzhen Airport by train or bus?

It is suggested to reach the airport by ferry. There is one ferry at around 20:00 and the whole duration is around 40 minutes.
The direct buses also exist and you can take them at the Coach Station in T2, but it is not suggested to, because it will take a long time, around two hours.