I would like to go Shantou by Highspeed train, but it seems no direct route from Shenzhen.

Sml, you can take a high speed train from Chaoshan Railway Station to Shenzhen North Railway Station without a transit.
To get to Chaoshan Train Station, you can either take a special bus line from Zhonglv Bus Station or take public bus no. 181.
There is a train ticket outlet near the Zhonglv Bus Station. You can walk westwards and turn north to Shanzhang Road. The outlet is a few yards ahead of you.

Or, I suggest you contact the TravelChinaGuide to let them help you with the booking. I booked my train tickets via them before and still keep their email address: bookingtravelchinaguide.com. May help.