Hong Kong to Shenzhen - ferry or train?

Both are feasible. Actually the train refers to the MTR lines in HK, which linking the subway in Shenzhen. The fare and the travel time depend on your starting point and destination. Anyway, the whole way of the rail line costs 39HKD and takes around 40min.

Take the MTR East Rail Line to Lo Wu Station. Pass the border, you will reach Luohu Station, and you can take the luobao line to go to the downtown. Or you can get off the Lok Ma Chau, and pass the Futian port, and then take the subway Longhua lIne.

If taking ferry, you can go to HK-Macau Ferry terminal, where you can take the ferry to Shekou Port.