Can you go via Train from Shenzhen to Hong Kong using the 240 hr visa-free transit?

Actually, some modifications are necessary to make your itinerary eligible. The only two options how to travel from Hong Kong toward mainland China is by plane or by ferry. The train is not eligible as a mode of transport to enter mainland China. In other words, you will have to take a ferry to two eligible ports. One is Shekou in Shenzhen and another Nansha in Guangzhou (a bit south from it, but connected by metro to the city). So, you will have to decide which one ferry you will use to reach Shekou or Nansha from Hong Kong. When you travel on 240 hour visa free transit, if you have exited from Hong Kong toward mainland China, you cannot return to Hong Kong directly, but via Macau. So, Hong Kong - mainland China - Macau. This is the way to do the route. You should be aware that you cannot reach Macau by train, but you should do that by taking a ferry from Shekou to Macau. In theory you could have been able to use a bus, but the main problem is how to produce a bus ticket while you are still in Hong Kong and also, please, keep this detail in mind, your bus has to be a through bus and not to have a change at the border crossing. This is the reason why do I suggest you strongly to rely on Shekou to Macau ferry operated by TurboJet. Please, have in mind that you will have to buy your Shekou to Macau ferry even before you depart from Hong Kong. You will print it out and have that printout with you as a proof that you will be in a real transit. You will be asked to present that ticket to both Hong Kong and mainland China immigration authorities. Also, you will really have to take exactly that ferry you have bought your tickets for. Have a nice visit to China.

Joseph, now I can see that you plan to enter mainland China by plane from Hong Kong. I know you will probably have just a short layover there, but under 240 hour visa free transit, it is the immediate points that matter. So, if you enter by plane on itinerary where your immediate point will be Hong Kong, you will still have to exit to Macau in order to be eligible for 240 hour visa free transit in the way I have explained in my previous post. After Macau, you are free to return to Hong Kong.