Shenzhen visas are available in Hong Kong only from the Lo Wu border crossing. This is the major crossing between Hong Kong and Shenzhen and is where the Hong Kong subway connects with the Shenzhen subway. The second crossing between Hong Kong and Shenzhen is Lok Ma Chau, but this border crossing does not, currently issue Shenzhen visas.
Shenzhen visas cannot be purchased in advance from tour agents, whatever they may claim, and are not available from Chinese Embassies.
Where At Lo Wu Do I Purchase a Shenzhen Visa?
The system for purchasing a Shenzhen visa is somewhat strange. You will first have to pass through Hong Kong immigration, then, as you’re walking across the footbridge, before the Chinese immigration desks, you’ll notice a pair of escalators on the left hand side. At the top of the escalators is the Shenzhen visa office.
How Long Does the Visa Process Take?
What If I Pass through Hong Kong Immigration and Can’t Get a Visa.?
The official line is that Hong Kong Immigration will not let you leave Hong Kong without a valid Chinese visa or the ability to buy a Shenzhen visa, in practice, they rarely check. You do have the option of returning to Hong Kong.