We took a train from Atocha, it was a 2 hour ride, very smooth and scenic. I believe it was 9 euros for a round trip. The schedule was a bit limiting, since the train left for Segovia every 2 hours(and the same coming back) but it gave us time to plan the day in Segovia and the time of return. It's a lovely town, with the great aqueduct and beautiful streets, and of course The Alcazar fortress. You get the great view of the city from the top of the tower so bring comfy shoes for stairclimbing!