When you arrive at the Guangzhou Baiyun Airport and you are going to Shenzhen, you may take a train from Guangzhou to Shenzhen. There are 2 railway stations from Guangzhou to Shenzhen. One is at Guangzhou East Railway Station to Shenzhen Louwu; price is 79.5 Yuan; time is about 80 minutes. The other train is from Guangzhou South Railway Station to Shenzhen North Railway Station; it is a High Speed Train; price is 75 Yaun; duration is 35 minutes.
You can take Metro Line 3 to the Guangzhou East Railway Station. It takes about 30 minutes, and costs 7 Yuan from Guangzhou East Railway to Shenzhen Lowu. （ How to Get to Guangzhou East Railway Station from Guangzhou Baiyun Airport ）
If you want to travel to Guangzhou South Railway Station, get off at Jiahewanggang Station and transfer to Line 2. At the end of the terminal gets off at the Guangzhou South Railway Station. Travel time is about 60 minutes; ticket price is 9 Yuan. ( How to Get to Guangzhou South Railway Station from Guangzhou Baiyun Airport )
Usually, taking an Intercity Bus from the Guangzhou Airport to Shenzhen will be more convenient and easier. If your destination is closer to the railway station in Shenzhen or you don’t want to wait too long for the morning bus at the Airport because the first Intercity Bus to Shenzhen is at 9:30am, it may be wiser to take the metro to the Guangzhou East or South Railway station since the first Metro train is at 6:00am.
At Guangzhou East Railway Station the first train to Shenzhen runs at 06:15am, and the last train is at 23:00pm.
At Guangzhou South Railway Station, the first train to Shenzhen runs at 07:00 AM, and the last train is at 23:00pm.