Transit Visa for Russian

Natalia, you do not need a visa for your itinerary, but it is important to understand that your entire transit time has to be shorter than 24 hours counting from your scheduled arrival time in Beijing until your scheduled departure from Shenzhen by direct train to Hong Kong West Kowloon station. Also, you should be aware that you will have to buy your Shenzhen to Hong Kong train ticket in advance, even before you depart from Vladivostok. You will print out that your ticket confirmation and have that printout at hand, ready to be presented to relevant authorities in both Vladivostok and in Beijing. Please note, you will really have to take exactly that train you have bought your tickets for!

During your check-in in Vladivostok you will declare that you will travel to Hong Kong via China using 24 hour visa free transit and you will present your flight and train tickets. When you land in Beijing the first thing that you will do is to approach 24/144 hour visa free transit where you will apply for a temporary entry permit by presenting your flight and train tickets. This application is free of charge. When your permit is granted you will head to the immigration and then you will formally enter China, so you can go for a sightseeing and to stay in a hotel.

When the time comes, you will take a plane to Shenzhen. No formalities, but you will collect your luggage and head to the train station in order to catch exactly that train you have bought your ticket for.

So, you do not need any kind of visa for this transit, as already explained in the text and you can exit the airport. In reality, you will have to exit the transit zone because your next flight is a domestic one.

You cannot take a bus/metro to reach Hong Kong. You will take a train from Shenzhen to West Kowloon station. Have a nice journey.