If you leave for Hong Kong from Shenzhen airport (or vice versa), you have three choices:
1) Take direct bus
There is an old and existing way of bus transport, as described here. But the new direct bus service departing from /to Hong Kong’s Airport Express station Kowloon Station is especially convenient and fast. See my post on the service here and here.
2) take the bus K568 from Shenzhen airport to Lowu, Shenzhen
The bus journey is 45 minutes, about every 15 minutes, costing about RMB20. But some part of the road is bumpy and traffic jam is common. So be prepared that the journey takes longer than specified. The bus stops at the Lowu Commercial City Building. The border crossing/passport control building is just next door and there are signs around to indicate the direction. So you won’t have problem finding your way.
Once you are done with first, China side’s passport control, and then Hong Kong side’s passport control, you land right away at the Hong Kong railway station Lowu, from where the train will take you to almost all parts of the city, including hotspots such as Central, Mongkok and Tsim Sha Tsui.
Note that before, Hong Kong had two rail systems, one KCRC, over the railway system, another MTR, over the underground system. But since 2 December 2007, the two companies/systems have merged and now all the railway/MTR services come under control of one company – MTR Corporation Limited. Click here to view its website for Hong Kong’s whole range of train services.
3) take the ferry
Take the shuttle bus from Shenzhen airport to Shenzhen’s Fu Yong pier (only a couple of minutes drive), from where there is ferry to China Hong Kong City Pier in Tsim Sha Tsui, or to Macau Ferry in Sheung Wan (near Central), or to Sky Pier at Hong Kong International Airport. The sea journey takes about 1 hour.
See here for schedule and price. The ticket price covers both the shuttle bus and the ferry.