There is no direct bus or train from Guangzhou Baiyun Airport to Hong Kong, all the bus to Hong kong are at city and the train to Hong Kong at Guangzhou East Railway station. If you arrive at the airport very late and you can find a taxi to Shenzhen, but cost is more than hotel. So you’d better stay in Pullman Hotel (US$100) in airport or take a taxi into Guangzhou city for 120 Yuan, stay in hotel, and make your way to train next morning. Cheaper and easier, what’s more it will safe.
If you want to take the Guangzhou-Kowloon Through Train to Hong Kong, you need to take a taxi or metro from Guangzhou airport to the Guangzhou East Railway Station (Taxi about 100-120 Yuan, during daytime working hours, 40 minutes, Metro, 7 Yuan, about 30 minutes), the last express train is at 21:32 to Hung Hum. （ ）
If you miss the last Guangzhou-Kowloon Through Train at Hung Hom that may be a good choice for you take a take the Hong Kong MTR train to Lowu station then take the train from the Lowu train station to Guangzhou East Railway Station .You can choose another way to Hong Kong, take the train at Guangzhou Easy railway Station to Lowu, about 1 hour, The last train is 23:02, one hour to Shenzhen, After clearing customs and immigration, arrive at Hong Kong, take metro at Lowu or taxi to your destination in Hong Kong . (The last train to Shenzhen Lowu is at 23:02 )
Tip: There are about 6 border crossings between Hong Kong and Shenzhen. Some close at 10 pm or so. Some close at midnight. Only the Huanggang Border is open 24×7. Once you cross the border, get to Lok Ma Chau (Hong Kong side), you can get another taxi to go to your destination