Shenzhen, Macau & Hong Kong are coastal cities in southern China. They are within 1-hr from each other. In a sense, you can say that they are the gateway to China from the south.
It is very easy to get from Hong Kong International Airport to Shenzhen. In this 1-minute video, I shared the general directions and a glimpse of what the journey is like.
Simply head to the bus terminal upon exiting the departure hall.Head to the bus terminal and wait for bus A43 at the bus Bay. It will be handy if you have an octopus card because most merchants accept payments via the octopus card in Hong Kong.
After about 45minutes, alight at the MTR station Sheung Shui. Take an MTR towards LuoHu. That is the border station of Shenzhen. After exiting the MTR, clear Hong Kong Customs and immigration and proceed to the Shenzhen CIQ accordingly. Thereafter, you are in Shenzhen.

It is also a scenic experience. If you are taking a bus, like I suggested in the video, I recommend that you sit in front on the upper deck. This is because parts of the journey can be very scenic.

Besides being able to see the city skyline of Hong Kong from afar, there’s also a view of various iconic bridges linking Lantau island to the rest of Hong Kong.
Check out this 1-minute video of the experience. Hope you will like it.