How can I get from Hong Kong to Shenzhen.

You can take the MTR (EastRail line). It departs from Hung Hom with two termini: Lo Wu and Lok Ma Chau. You can go through the immigration check there and enter Shenzhen directly. Both two ports are connected by subway. You can transfer to other places in Shenzhen by subway. The ticket cannot be booked online in advance, you just buy it at the counter after your arrival.