Hong Kong - Shenzhen - Hong Kong

Yes, it is definitely possible. Your solution is to apply for a 5 days Shenzhen visa on arrival right at the border crossing. You are advised to use Lo Wu / Luohu border crossing and to arrive there at least at 08:30 because Luohu visa office opens at 09:00. It is better to arrive there in the morning in order to avoid major queues. A very good alternative is to take a ferry from Hong Kong to Shekou port in Shenzhen, but just be informed about Shekou visa office opening hours: 9:00 - 13:00 & 14:30 - 16:30.

You will bring your valid passport and you will fill out the relevant form at the border crossing. You will take a photo in the same place and pay affordable fee of 130 CNY by card. All major cards are accepted. After the visa is issued, you can proceed into Shenzhen, but keep in mind that this visa limits you to Shenzhen city limits.

After you are over with your visit to Shenzhen, you can return back to Hong Kong by taking any border crossing you want and also any mean of transport, high speed train from Shenzhen to Hong Kong West Kowloon station included. Have a nice journey.