How do I get from Hong Kong to Shenzhen, then go to Macao?

From Hong Kong to SZ, you can take East Rail Line to get to Lo Wu Station. Then pass the customs and enter that city. Transfer to other transportation to your destination.

To Macao, you can take ferry at Shekou Port. The schedules are 08:15 to 19:30 with the frequency of around half an hour. The trip takes around 60 mins. The ticket fare is MOP 238 per adult.