Shenzhen Bao’an International Airport: Take Shenzhen Metro Line 11 from Airport station: it is the sensible default for Futian/CBD, about 30 minutes and roughly ¥10. Do not pay for the business-class carriage unless you simply want more space. A taxi is worthwhile only with luggage or a late arrival—about ¥100 to Futian and ¥150 to Luohu including tolls; use the signed Didi/e-hailing pickup bays rather than negotiating with drivers.
Hong Kong International Airport: For Shenzhen, the reliable public-transport route is Airport Express into Hong Kong, then MTR East Rail to Lo Wu/Luohu or Lok Ma Chau/Futian Checkpoint; allow roughly 1½–2½ hours door to door once immigration queues are included, and around HK$150–200 depending on route. It is not a quick ‘airport transfer’: Hong Kong and mainland immigration/customs are a full international-border crossing. Direct coaches can be useful for a specific Shenzhen hotel, but are slower and less predictable in traffic.
Guangzhou Baiyun International Airport: Use it only when the airfare or flight schedule is materially better than SZX. The practical onward journey is a bus or rail connection via Guangzhou’s rail hubs to Shenzhen North/Futian; budget about 2½–3½ hours door to door after changing from the airport. There is no magic fast airport-to-Shenzhen transfer, and road traffic can make a direct coach the worse bet.
Shenzhen North Railway Station: This is the main high-speed-rail arrival point for Guangzhou, Beijing/Shanghai services and much of China. It is well connected by Metro Lines 4, 5 and 6; Line 4 is the straightforward run south to Futian. Allow 25–40 minutes onward to central Futian, longer for Nanshan or Luohu.
Futian Railway Station: Best rail arrival for the Futian CBD and for high-speed trains from Hong Kong West Kowloon and Guangzhou. Metro Lines 2, 3 and 11 make it the least painful station for central Shenzhen; most central destinations are 10–30 minutes away.
Shenzhen Railway Station (Luohu): Use this for the Lo Wu/Luohu border crossing from Hong Kong and some conventional rail services. Metro Line 1 is directly connected. It is convenient for Luohu and old east-central Shenzhen, but not for Futian/Nanshan: expect 30–60 minutes on the metro.