I'll be travelling from HK to Shenzhen via train stay for a night then go to Guangzhou.

From Shenzhen to GZ, you are suggested to take direct high-speed train from North Railway Station, and go to GZ South Railway Station. The travel time is 30 to 40 mins. The train schedules are from 07:00 to 23:03. The ticket fare of first class seat is CNY99.5 and second class seat is CNY74.5. The return way is the same.