There are several ways of getting Shenzhen from Hongkong, which include the train, ferry and bus.  Here we will offer a guide to the options.
► by train:
Taking train is quite a popular way choose by most people. If you are in Central, or Tsim Sha Tsui, you can go to Hung Hom stationfirst  to take the East Rail Line. If you are in Mong Kok you can get onto the East Rail Line at Mong Kok East station or Kowloon Tong.
► by ferry:
If you take ferry, it will departs Hong Kong from either the Hongkong Macau Ferry Terminal/Pier (located at Sheung Wan). The ferry rides will taking around 1 hour for 110 RMB.
► by bus:
There are many buses which go between hotels in Shenzhen, Shenzhen Airport, Huanggang and Shenzhen Bay Port, to Hong Kong and out to Hong Kong Airport. You can ask the hotel receiption for detailed process to take bus to Shenzhen due to different location you are in.

A simple map following will show you ferry routes and  two of the border crossings between these two cities: