There's no train connection with Shenzhen Airport.
Car and bus
Shenzhen Airport is situated 32 kilometers northwest of the city center. The airport can be reached in different ways by rental car: via the Guang-Shen Expressway, the Jihe Expressway and the National Road 107. These roads connect the airport with for example Hong Kong, Macau, Guangzhou and Dongguan. The highway network around the airport can be confusing, also because not all destinations are indicated in English.
Every half hour buses leave for Hong Kong and Shenzhen. There are also several minibuses which connect the airport with Shenzhen.
There's also a ferry connection with Hong Kong. The fast ferries of TurboJET leave from the Fuyong pier. A free shuttle bus runs from the airport terminal to the pier.
Car rental Shenzhen Airport
You can find counters of local Chinese car rental companies and the international company Avis in the Arrivals Hall.
Taxis can be found outside the Arrivals Hall. They cannot only take you to Shenzhen, but also to destinations such as Hong Kong or Dongguan. Make sure the driver turns on the meter, or agree on a clear price upfront.
There's a large parking lot near Terminal A and a large parking garage near Terminal B. The first 15 minutes are for free, after that you pay 10 yuan for the first hour and then 2 yuan per hour with a maximum of 50 yuan per day. More information via +86(0)755 2751 9786 (parking at Terminal A) or +86(0)755 2751 9739 (parking at Terminal B).