HI, I want to travel from Hong kong to shandong via the train,please advice if this is possible

Yeah, it is possible! However, Shandong is a province. May I know what your destination in that province? Suppose you are going to Jinan. You can take a train at Hung Hom Railway Station, HK to Guangzhou East first. Then go to Guangzhou South Train Station to catch a high-speed train to Jinan.