My flight arrives HKIA at 5.15 AM.

Only two schedules are available to Fuyong and the first ferry leaves from HKIA at 11:50. While the first ferry to Shekou goes at 09:00. By contrast, Shekou Port is recommended. Or you can go through the immigration to take a direct cross-border coach to Shenzhen. Coaches are very frequently scheduled and the first bus leaves at 06:50 and it takes almost two hours. This can be the best choice for you.