Does the high-speed to Train to Hong Kong leaves directly from Shenzhen Airport?

No, the high speed trains mainly depart from SZ North Railway Station and Futian Railway Station.

Thx. How far are these stations away and how can I go there???

You are advised to take the high speed train at SZ North Railway Station with more trains running to Hong Kong.

From Bao'an airport to the north railway station, it is about 35 kilometers from the North Railway Station to the airport. You can first get on the metro line 11 at the airport and get off at Qianhaiwan. Then transfer to the metro line 5 and get off at the SZ North Railway Station.

Thanks!! Wow - so far!! 35 km ...