There are a few ways getting o Guangzhou from Hong Kong, or vice versa.
Let’s start from the “train” way:
a. Through Train (Kowloon, Hong Kong – Guangzhou East)
This is the most comfortable, convenient as well as expensive way. The through train departs from Hung Hom train station, Kowloon, Hong Kong and arrives at the Guangzhou East train station. Each day there are 12 trains going in one direction, and 24 trains in both directions. If it is a busy day, such as on the eve of a Chinese holiday, or a weekend, you will need to buy the train ticket in advance. Otherwise, you can usually get a seat for the following train on the same day.
The good news is that you can now buy the ticket online, or through tele-ticketing (make a phone call to book a ticket via credit card, and collect it at the train station before boarding) of the Hong Kong MTR train system.
For details of ticketing, check out Hong Kong MTR website：http://www.it3.mtr.com.hk/B2C/UserPage/sysTicketInformation_Eng.asp
The one-way journey is 1 hour 40 minutes. You go through the immigration formality (Hong Kong side and Mainland China side) at once, at where you board the train. So that is pretty convenient.
One way ticket costs about HK$190 for first class, and HK$230 for premium class.
But note that some of the through trains stop at Dongguan – just for a while – and some not.
b. Take the Hong Kong MTR train to Lowu station, go through the Hong Kong and Shenzhen immigrations, and then take the train from the Lowu train station, Shenzhen to Guangzhou, or vice versa.
The Lowu train station, Shenzhen is located just right next to the Hong Kong/Shenzhen immigration building. So the train transfer between Hong Kong and Shenzhen is not difficult.
This way is less expensive, and you can go almost at any time you want, since there is always a train every hour from Lowu, Shenzhen to Guangzhou, or Guangzhou to Lowu, Shenzhen. The train journey of Shenzhen -Guangzhou takes about 1.5 hours, and costs only about RMB36 for a soft seat. The Hong Kong train fare from Hung Hom, Kowloon to Lo Wu is about HK$32. Adding up, the whole journey from Hung Hom, Kowloon to Guangzhou through the non-through-train way is about HK$70, a lot cheaper than the the aforementioned through-train way.
The negative side, though, is that it takes longer time, and more trouble.