The much debated project is now done: Hong Kong has high speed rail now to the rest of China since 23 September this year. With the inauguration, MTR and CRH are offering direct services to Guangzhou (2 hours) and shuttle to Shenzhen (14 minutes). There are also a few direct trains to other cities in China, like the daily train to and from Beijing for less than 9 hours.
Border control is done at West Kowloon (both Hong Kong and Mainland China).
If you want to try the high speed night train, you can take the Beijing to Shenzhen night train and change in Shenzhen. Probably much more comfortable to take the train from Sweden to Hong Kong through Siberia!
Timetables are available at MTR’s website.