Visa Requirements for Train Travel from Shenzhen to Hong Kong

Hello everyone,

I'm planning a trip where I'll be flying into Shenzhen and then wish to travel by train to Hong Kong. I'm unsure about the visa requirements for this particular route. Should I apply for a visa beforehand, or can I obtain a transport visa upon arrival at the counter in Shenzhen? Any guidance on the process or tips for a smooth transit would be greatly appreciated.

Thank you in advance for your help!