Depart from Shenzhen to Hong Kong and travel to Thailand by plane.

E-ticket means that you don't need a physical ticket, remember your flight well and go directly to the machine with your certificate. If you want to transfer to Hong Kong, you don't need a Hong Kong and Macao pass, otherwise you need a ticket certificate to Thailand (the ticket confirmation form should be ok) and a visa to Thailand. It takes 1 many hours to go through the customs, and you need to fill out an exit form before you can go to Hong Kong. If you go to Hong Kong from Shenzhen, you don't just need to fly.