Hi Prashant,
Greeting from Peggy, Top China Travel
There are direct express from Hong Kong airport to Shenzhen Huanggangkou Gate.
You can find the express coach on Hong Kong airport T2 building.
The service of the express coach: 7:oo a.m. to 1:00 a.m. (next day)
Hope above information can help you.
Best regards
Peggy
Top China Travel