The Best Option from Shenzhen Station to Hong Kong by: THKA
Your best option if your coming from Shenzhen Station and going to Hong Kong is to take the Lo Wu to Hong Kong border and having Luggage in your both hands is not a problem.
Shenzhen Station is just a few meters away to the Lo Wu to Hong Kong border. Walk thru the Lo Wu Commercial Center until you'll get to the Lo Wu Immigration Building. Get into the 2nd floor where you can find the Tourists and Mainland China Visitors Immigration Counters (3rd floor is for Hong Kong Citizens).
After you exit from the China Immigration, you'll need to walk about 2 minutes to the Hong Kong Immigration and then right after you check out from the Hong Kong Customs, again you'll need to walk about 1.5 minutes to the KCR Trains Station that will bring you to the Hong Kong City (the last Station will be East Tsim Sha Tsui).
