NZ passport holder visiting Shenzhen by train from Hong Kong

If you want to take a train, then an advance visa is necessary. However, I recommend you to rely on 5 days Shenzhen visa on arrival. Also, the best way to reach Shenzhen is to take the first morning ferry from Hong Kong to Shekou port in Shenzhen and to apply for a visa at Shekou visa office, opening hours: 9:00 - 13:00 & 14:30 - 16:30. You just need your passport and preferably an accommodation booking confirmation for the first overnight. They will take a photo of you and you will pay in cashless form (by card) visa fee. After your stay in Shenzhen, you can return by any type of transport, high speed train included and by taking any available border crossing. Only the entry is specific. As far as ferries are concerned, take a look at CKS - Chu Kong Passenger Transport Company website.