Shenzhen North railway station to Hongkong

But what is your destination in HK? Anyway, both bus and train are available:
By rail: At the North Railway Station, take Longhua metro line to Futian Checkpoint. Cross the border to Lok Ma Chau. Then transfer to East Rail Line to downtown HK.

By bus: Near the North Station, there are direct buses to HK and they are operated by CTS.