If I want to go Xiamen taking high speed from Shenzhen. Which train station should I go?

Well, all the high-speed trains depart from the North Railway Station. The train schedules are from 07:00 to 19:13. The duration is nearly 4 hours. The ticket fare of second class seat is CNY150.5 and first class seat is CNY181.
In addition, as I know, there is no service counter at the airport that sells train tickets. Thus you can just purchase them when you arriving at the North Railway Station. Generally speaking, there will have enough train tickets in usual time. Don't worry.