How can I visit Hong kong from Shenzhen Huaqiang North Station?

At this metro station, you can take Shekou line to Grand Theatre, where transfer to Luobao line and get off at Luohu station. After that, walk out of the metro station and cross the immigration to Lo Wu, Hong Kong. There you can take East Rail MTR line to Hung Hom. Then you can go for a visit in HK.