First ferry departs 9a, so forgetaboutit. Coaches to Huanggang or Shenzhen Bay both start at 7, so it's possible, depending on where in Shenzhen you're going.

Keep in mind that HK taxis can take you directly to the Shenzhen Bay and Lok Ma Chau crossings, but not Huanggang or Lo Wu. Those two require a shuttle bus and train ride respectively. So find out and post where in SZ you're actually going.