The "Through train" from Guangzhou arrives at Hung Hom KCR-East Rail station, where you go through HK immigration and customs.
After that, you can ride another stop on the KCR-East Rail to the Tsimshatsui-East terminus, which is a 5-minute walk to MTR's Tsimshatsui station. Or you can ride the KCR-East Rail back north 2 stops to Kowloon Tong, which is another MTR transfer point.