Originally Posted by
JPDM
OP makes no mention of Beijing. And if the goal is to end up in HK then it is better to take the train to Shenzhen north than to Futian. Shenzhen north has buses to HK and it is on the same subway line that the Futian checkpoint. Futian station requires some transfers.
If the goal is to end up in HK then Futian is certainly better than Shenzhen North. Less crowds and nearer to the border on the same metro line 4.