Train to Shenzen or GZ airport (Hong Kong)

Hello
Can anyone provide insight...
After visiting HK, I need to fly back to Tianjin. From HK there are no direct flights and it is longer for some reason vs flying from Shenzen or GZ airport. It is also cheaper too.

Is it easy to take a train from HK, which station, to Shenzen or Guangzhou and then get to the respective airport? Which train is eaiser to get to their airport? SZ or GZ?

Thanks!