How long is the journey from Gongbei Station to Shenzhen and is this a direct bus service?

Yes, there are several direct coaches that depart from Gongbei Bus Station to Shenzhen. The bus schedules are from 06:20 to 20:30. It takes around 2 hours on the way. And the ticket fare is CNY 100/person. In addition, you don't need to purchase the tickets in advance. There are many schedules. You can just buy the tickets when you arriving there.