Travelling from Bulgaria to Hong Kong and want to visit Shenzhen

Aleksandar, you can visit Shenzhen, but not based on any visa free transit scheme, but by obtaining a 5 days Shenzhen visa on arrival for a very affordable price of 130 CNY at the border crossing. There are three border crossings that issue Shenzhen visas on arrival and Lo Wu (Luohu) is the most popular. You can easily reach it by train from Hong Kong. You should just be aware of the visa office opening hours: 9:00 - 16:30. Also, you are advised to be at the border crossing before 09:00 to avoid the queues. Also, you cannot take a direct train from Hong Kong to Shenzhen, but you can return back to Hong Kong by that same train after your stay in Shenzhen. You should just bring your passport. At the border crossing you will fill out the form, the officials will take your photo, you will pay the fee by card and a visa will be granted.