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Shenzhen, a major city in the south of Southern China’s Guangdong Province, is situated immediately north of Hong Kong Special Administrative Region. Sehnzhen has became China’s firs and one of the most successful—Special Economic Zones (SEZs).If you want to travel from Guangzhou to Shenzhen, you can take a taxi; bus and train to Shenzhen, a lot of people prefer take a train from Guangzhou to Shenzhen, fast and convenient. There are 2 railway stations from Guangzhou to Shenzhen.

Guangzhou East Railway Station to Shenzhen Louwu (Luohu)
Train price: CNY 79.5
Duraton time: about 80 minutes (How to take a train from Guangzhou to Shenzhen Lohu). 
At Guangzhou East Railway Station the first train to Shenzhen runs at 06:15am, and the last train is at23:00pm.

Guangzhou South Railway Station to Shenzhen North Railway Station
High Speed Train price: CNY 75
Duration Time:  35 minutes
At Guangzhou South Railway Station, the first train to Shenzhen runs at 07:00 AM, and the last train is at23:00pm.

Guangzhou East Railway Station and Guangzhou South Railway station at different locations, you can take metro line 1 and line 3 and get off at Guangzhou East Railway station, you can reach the Guangzhou East Railways Station, taking metro Line 2 and get off at Guangzhou South Railway Station, you can reach the Guangzhou South Railway station.