There are several ways to take the train from Hong Kong to cities in mainland China. Each of these methods has their own cost/time benefits.
Cross-border Trains from West Kowloon Station
This is the new high-speed rail line offering fast trains to Shenzhen, Guangzhou and many other mainland China destinations. Trains depart only from West Kowloon Station via the GZ-SZ-HK Express Rail Line.
Cross-border Trains from Hung Hom Station
Located in Yau Tsim Mong District, Kowloon, Hung Hom station serves as the terminus of cross-border services with destinations to major cities in China including Beijing, Shanghai, Guangzhou, as well as Zhaoqing, Foshan, Dongguan in Guangdong.
More info Guangzhou-Hong Kong Through Train
More info Beijing/Shanghai – Hong Kong Through Train
MTR website http://www.mtr.com.hk
Shenzhen via the East Rail Line
For Shenzhen, take the East Rail Line to Shenzhen as per instructions here and cross the border at Lo Wu and enter into Shenzhen at Louhu, or to Lok Ma Chau and enter Shenzhen at Futian.