Answered by Borut | Dec. 26, 2023 02:00
You cannot use any visa free transit scheme for that, but you can rely on 5 days Shenzhen visa on arrival that you can obtain at several designated border crossings. You can use Huanggang and Lo Wu (Luohu) overland border crossings and Shekou port in Shenzhen sea border crossings for arrivals afrom Hong Kong by ferry. These border crossings have visa offices and their opening hours are from 09:00 until 16:30. Be warned that if taking one of overland border crossings you will have to reach them even before the opening time because they are quite congested and there is a daily quota. So, I always suggest to take a ferry, the first one departing from Hong Kong directly to Shekou port in Shenzhen. One detail here, the price for Shenzhen VOA for US citizens is a bit steep 1,295 CNY based on reciprocity and for Mexican citizens it should be 275 CNY, but I cannot say this with absolute certainty.
After your stay in Shenzhen, the best way to return back to Hong Kong would be undoubtedly by high speed train.