Going from Shenzhen to Macao and from Macao to Shenzhen is not only pretty easy, but relatively pain free and this is regardless of if you are visa free, or need one on arrival.
There are also multiple options for this trip, depending on your budget of course.
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Shenzhen to Zhuhai by train
If you wish rio travel overland to Macao it will mean going to the [prt city of Zhuhai. This needs rot be done via Guangzhou, with tickets that link easy to purchase on trip.com. Nowadays your passport also acts as your ticket in China, meaning one less thing to worry about.
On arrival in Zhuhai you are greeted by Zhuhai port which is opposite the train station. You can get a place to stay here for around the $30+ mark. If you are lucky your hotel will even overlook Macau.
Combined ticket csiost is about $30.
Staying in Zhuhai
If yo do come late to Zhuhai staying is a a necessity, which can be a pain as it is just crazy busy with Chinese tourists. The hotels though are nice enough and there are restaurants everywhere.
There is also Zhuhai Street Food, as well as a not so good nightlife. The border to Macao opens super early and is via a mall that is pretty good as mass go, as well as having a decent food court,
Crossing the border to Macau
Crossing from Zhuhai to Macao is very easy and is similar to going into Hong Kong. Most all nationalities are visa free here, with Brits for example getting 6 months, as they do in Hong Kong. Chinese people do not get this, another reason why I say Macao really is not China.
Toi read about what counts as a country click here
Lately they also take your fingerprints if this has not been done by you already.
How do Cambodians get visa on arrival in Macao?
Cambodians and other nationalities that get visa on a rrioavl in Macao do do by going to the visa on arrival counter at the border. Here they will be required to fill out a form and then present that form.
They will also need to prove how much money they have in cash, or show their bank statement. If traveling as a group, or with people that do not need visa on arrival it is possible for them to act as a guarantor. For context you need at least $1000 USD a week, or 5k if you want a month lough visa. Still the process is relatively pain free.
Once you cross into Macao you can take a free bus to one of the resorts, something I will cover later…
Taking the ferry from Macao to Shenzhen
The quickest and most cost effective way to get form Macao to Shenzhen is by ferry. For this one needs to go to Taipa ferry terminal where they are ships every 30 minutes from morning until 22.30 to Shekou in Shenzhen.
The very takes just over one hour from where you will again need to do Chinese immigration. The ferry terminal in Shekou is pretty nice and has a 7-11 and McDonalds…..
Shekou itself is a nice area boasting a great bar area, as well as one of my favorite Hiltons in the world. From here you are but a taxi ride away from Guomao, as well as the border with Shenzhen.