Shenzhen Bay is one of the most popular walking or cycling routes in the city. This is because it is long, stretching from Futian to Shekou, and very wide, allowing people to walk, jog or cycle.
It is busiest during the evening time when it is cooler and people have finished work, and it is also popular early in the morning as the sun rises here. Guide to ALL the parks in Shenzhen here Guide to the parks in SZ
There are many many rest areas here including rocks, benches and large grass areas which are popular for picnics and such. This also connects to Shenzhen Talent Park, which is also a good walking option day or night. Read about Talent Park here Shenzhen talent park
Shenzhen Bay Park Metro station Exit A/D/E
Binhai Avenue, near Wanghai Road, Nanshan District 南山区滨海大道(近望海路)
I also have led a park walk here in the past. I often lead different park walks in shenzhen. If you want to join in future please feel free to connect with me Connect with me