Upvote:-1
There are no trains from Shenzhen in Mainland China to Hong Kong...yet.
From Shenzhen, the easiest thing to do would be cross at either Luohu or Futian which are pedestrian crossings with MTR stations on the other side.
When applying for the China Visa, you don't have to show every future entry, just the initial entry and exit, but they don't even hold you to that.
Upvote:1
As I mentioned in the comment I think if you write KCR in the application you'll have no problems provided your international flights are booked and you provide the bookings and accommodation bookings.
If you want to book a bus, it's not a bad way of getting to/from Hong Kong. There are also ferries which may make sense in some circumstances (maybe if you are staying in She kou. The land crossing at Luo hu can be very, very busy, especially on weekends and holidays. Last time I looked the bus companies' websites were in Chinese only, but if you are staying in Shenzhen that's probably the least of your problems.