By MTR
This first one is by far the cheapest and most popular way to get to Shenzhen. Just hop on the East Rail Line and take the train to Lo Wu MTR station and head over to the Luohu Port, where you can take the Shenzhen Metro Line 1 to get downtown. Alternatively, get off at Lok Ma Chau MTR station on the same line and go to the Futian Checkpoint and ride Metro Line 4 instead.
The lines at their respective stations are well-connected and immigration at both ports are quick and easy. This route can take from one to two hours, but it depends on where and when in Hong Kong you’re starting your journey from.