There's a fair amount of museums, interesting areas and elaborate buildings in Shenzhen. But it's not like Europe where everything is in one place, it's a huge city. I don't think HK is very strong at public things, except national parks and to some extent transport.
Disliking the mainland is part of Hong Kong's identity. While initially shocking if you go back and forth enough you start appreciating the lesser rules of the mainland and realize that HK is still quite colonial. And while mainlanders won't say "yes sir", or speak English, they are generally quite friendly, curious and genuine. Of course a sense of humor often also helps.
Shenzhen: https://www.youtube.com/watch?v=iKLrmi5eOn8
Shanghai: https://www.youtube.com/watch?v=1cC-j4_NtvE
Guangzhou: https://www.youtube.com/watch?v=TNlN1_ANaJs
Chongqing: https://www.youtube.com/watch?v=07dWi-MJReM
Shenyang: https://www.youtube.com/watch?v=QGBSpoTXZmw
Suzhou: https://www.youtube.com/watch?v=4aXLMS-miKU
Dalian: https://www.youtube.com/watch?v=AeEJNNMcR1s
Zhengzhou: https://www.youtube.com/watch?v=KiOlUYfM310
Chengdu: https://www.youtube.com/watch?v=0xwVQ4Jb1zc