Hong Kong Yau Ma Tei mtr station to Shenzhen

You mean to take the Guangdong – HK Through Train from Hung Hom? But the train doesn’t have any stop in Shenzhen.
The easiest way for you would to take the MTR East Rail Line. You can take Tsuen Wan Line from Yau Ma Tei to Tsim Sha Tsui, and transfer to West Rail Line to Hung Hom. There you can take the East Rail Line to Lo Wu. Upon arrival, go through the custom checks and you'll be in SZ.