You now have a new way to reach Shenzhen Airport from Hong Kong, or vice versa. This time, all the way by train.
Shenzhen Metro (the city’s subway system) ’s Luobao (罗宝) Line (line 1, the green line) has come into full operation since mid-June, linking Shenzhen Airport to Luohu (the line’s first and last stations). That means, you can now take the Shenzhen Metro all the way form Airport East station to Luohu (罗湖) station, where you cross over to Hong Kong side’s Lo Wu and take Hong Kong’s train system (called MTR) which brings you to the city.
Or vice versa. Take the train to Lo Wu, cross border, and hop on the Shenzhen Metro, take Line 1, and you will come to Shenzhen Airport.
The journey time for Luobao Line is 68 minutes. The map here will give you a clear idea of the train lines.
Taking direct bus is currently a popular way of reaching Shenzhen Airport from Hong Kong. See this post. Now that Shenzhen’s underground system has reached Shenzhen airport, this may change.