The best place to buy train tickets for the mainland Chinese rail network is at the CTS head office in Sheung Wan.
It is located at: CTS House, 78-83 Connaught Road, Central, Hong Kong
Link here => CTS house location and link
The main advantage of going here is that you can buy tickets and get them printed, so that you have the actual tickets in your hand. (See below why this can be an issue!).
Tickets are available 28 days in advance. They charge a fee per ticket (in general, 60HKD). Non-changeable, non-refundable tickets. But tickets that are good to go, once you connect to railway stations within China.
I also like to use www.china-diy-travel.com/en which allows you to buy tickets online through the website. They buy the tickets for you – and send you the confirmation you need to pick up at any station in China. The disadvantage is you need to still go and queue up to collect the tickets, but it’s usually not that complicated. China DIY Travel’s customer service has been very good – in my personal experience. There are other online options, noted on www.seat61.com below (as well as lots of information on train travel in China) => www.seat61.com/China.
I’ve also seen the information at HKTravelBlog which is great – see here =>