Australian passport travel from HK to Shenzhen need a visa

Yes, if you want to visit Shenzhen, you will use one of three designated border crossing and obtain 5 days Shenzhen visa on arrival that comes with the price of 275 CNY for Australian citizens. By far the best way is to take the first ferry from Hong Kong to Shekou port in Shenzhen and to apply for a visa when you arrive there. This is quite a straightforward process especially in Shekou because the waiting time is tolerable. The latter is not the case at two other border crossings (visa offices).