Tianhou Temple in Shekou is one of the largest temples in China dedicated to Mazu, the sea goddess who protects sailors and fishermen. Its history reaches back to the early 15th century, when Zheng He is said to have founded the shrine after one of his voyages.
The temple is a strong stop in western Shenzhen, especially if you want something older and more rooted in maritime history than the city's usual glass-and-steel landmarks.