Not really. They are just the regular MTR trains. Lots of people take bags of some description, and stand in the aisle.
The bigger issue it the gates at the station (in Shenzhen primarily). These are rotating turnstile type, and make taking baggage through rather difficult.
Whilst we used to take the train one way, stay the night, then transfer back via car direct to HKG (due to increased luggage amount), we have now taken to taking the train without luggage for day trips, but it taking luggage, we just use a transfer service from hotel to hotel.
Using Hotel transfers is expensive, cheaper if booking via China Car Services (Shenzhen Car Services), but still not cheap. For the next trip in a month of so, it seems that
klook.com (which I have used for transfers from HKG to Kowloon a number of times), have better rates.