Hello,I’m a passport holder from Czech Republic.

First, you need to apply for a Chinese visa in advance. But the best and most convenient way is to take the direct high speed train from HK West Kowloon Railway Station to Shenzhen North Railway Station. The running time is about 18/ 20 minutes and the ticket fare is CNY120.

If you plan to visit Shenzhen and Guangzhou, you cannot apply for the visa on arrival and you need to apply for a Chinese visa in advance. If you go to Shenzhen from Hong Kong via Luohu, you can try applying for the visa on arrival. But you can only stay in Shenzhen and cannot go to Guangzhou.

Many thanks for your repply. But I need to get to Lo Wu first for the visa. So - I have to take train to Lo Wu...
Would you tell me please where can I find info that proves that I need Chinese visa when entering Shenzhen? In this article I´we found only this:
How to Apply for the VOA & How Long Does It Take?
1. Show your valid passport;
2. Complete the application form when you are at the port;
3. The officer will take a photo of you after you hand over your passport and application form;
4. Pay for the VOA (in Chinese RMB); there is a window for currency exchange.
And other thing is - if I will travel over Guangzhou, I needn´t pay SZ visa... I don´t know how much the visa are for CZ, but in my country I pay about 150 Euro for clasic Chinese visa to my agency. From West Kowloon Railway Station to SZ North Railway Station I can´t get directly, because first I have to appy for visa at Futian/huanggang port. According Google maps I will have to go from Kowloon station to Hung Hom station and from there to Futian and then to SZ - north rail. stat. for example. So if I´m not mistaken, it takes hours, the complete proces is hard to predict, and I will have to pay at least for 2 train tickets and one more visa. So the final price will be cca 60 euro visa and train tickets + 150 euro for visa in my country, it is over 200 euro, hours of time, and the proces is pretty challenging, hard to predict... :) When traveling over Guangzhou, it costs less money and there is no need to communicate with the office.