It’s fairly easy to find a job as an (English-speaking) foreigner in Shenzhen. There are a few ways:
Easiest is to find a job as an English teacher. There are a number of companies in the US that offer help in this process, for a fee. Theoretically, you could also show up in Shenzhen and get a teaching job. Teaching jobs in Shenzhen would usually involve free housing, ~$1,500–2,000US per month salary, and, off-the-books, the opportunity to tutor English privately for ~$50–100 per hour+.
Less easy, but more lucrative and more of a career, would be to become highly skilled at some tech-related field. There are a huge number of tech companies headquartered in Shenzhen, including the world’s biggest drone company (DJI), one of the world’s biggest app companies (Tencent), and several telecoms network companies (Huawei, ZTE). If you’re well-trained in robotics, coding, etc., you might have a shot at getting into one of these companies. It would be a significantly better shot if you speak Mandarin.
Beyond this, there are a number of foreigners in Shenzhen doing their own thing. This includes people I know doing startups in various areas of electronics (basically Shenzhen is the center of the world’s biggest electronics supply chain), running restaurants, importing liquor from Eastern Europe, working as machinists, etc. To do something like this, you’d probably need either some capital to start, a specific skill, or a good network in some specific industry. That said, I did once meet an English guy who appeared to have little to no talent at anything, but made a reasonably okay living selling cheap Shenzhen electronics on Amazon UK.