The easiest and fastest way to travel to Shenzhen from Hong Kong is by taking the train operated by Hong Kong MTR.
There are a few train lines, such as Ma On Shan Line, Island Line, Kwun Tong Line, East Rail Line and West Rail line. The one that goes to Shenzhen is East Rail Line. Lowu is the station that you should aim at, the last of the rail line. After getting off at the Lowu station, the Hong Kong immigration counters is just a stone’s throw away. Then you proceed to the immigration counters of Shenzhen, which is about a bridge away.
The East Rail train is very frequent, one every 2-3 minutes. Use this search at the MTR website. The search result will tell you how long the journey time will be, and how to transfer from one line to another in order to reach your destination. You will be shown the train fare as well.
Also at the end of the East Rail Line is Lok Ma Chau station, which allows you to cross border to the Futian Port at the Shenzhen side. This border crossing is only one year old, used by much fewer people than the Lowu crossing. You will need to transfer at the Sheung Shui station, the second last station of the East Rail Line, so as to broad the train to Lok Ma Chau station, or take the East Rail train whose destination is Lok Ma Chau station.
See my previous post about the Lok Ma Chau Spur Line – Fu Tian Port Crossing.
Continue reading: Train from Hong Kong to Shenzhen (part two)