The latest subway from Shenzhen to Hong Kong is 23:00
Expansion: Depending on the choice of port, there are differences in travel time.
If you are crossing the border from Futian Port, Futian Port is closed at 22:00, Shenzhen this side of the subway you have to take the terminal of Line 4 is Futian Port last train is probably 23:00 from the Children's Palace.
If you are from the Luohu border crossing, Luohu border crossing is closed at 24:00, the Shenzhen side of the subway you have to take the first line terminal is Luohu last train is about 23:00 from the SZU.
Choose the subway to go to Luohu Port, inexpensive, there is no traffic jam caused by the factor of time delay, all the time is within their control. But Luohu Port is the largest port in Shenzhen connected to Hong Kong, every day people are super, queuing usually take about 1 hour. Holiday queuing for 2 hours is even more commonplace.
In the Baoan airport directly on the Luo Bao line to Luohu, and then directly from the Luohu customs (not the morning rush hour if the exit time of 15 minutes or less), and then in the Luohu on the MTR, at most more than half an hour to Mongkok.
Shenzhen Bay Port is the fastest border crossing, fewer people and is a double check, only need to check once can not like other ports, in and out of the check, but the bus to Shenzhen Bay price is relatively expensive.