If you don't feel like spending many hours in a train, you can consider travelling by plane. Especially if you have the possibility to book in advance, flying to Shenzhen can be definitely cheap.
In which stations can you take the train to Shenzhen and where will you arrive?
You can take the train to Shenzhen at shenyangbei or shenyangzhan, which arrives at shenzhenzhan.
How long will it take you from Shenyang to Shenzhen by train and when do the trains leave?
While the first train to Shenzhen leaves at 17:07, the last one is scheduled for 17:07. The average duration of the journey is of 11 hours and 31 minutes, but the fastest trains can get you to Shenzhen in 11 hours and 11 minutes.