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 Shenyang can be definitely cheap.
In which stations can you take the train to Shenyang and where will you arrive?
You can take the train to Shenyang at shenzhenzhan, which arrives at shenyangbei.
How long will it take you from Shenzhen to Shenyang by train and when do the trains leave?
The trains running between Shenzhen and Shenyang take 10 hours and 42 minutes. The first train leaves at 20:07, whereas the last one is at 20:07