Steveaqui is right. Buses to Segovia depart from
La Sepulvedana station at Príncipe Pío subway station.
[There are also trains from Chamartin but they take longer and they are more expensive].
As for trains there is no big difference. You can either take the train from Atocha or the bus from Estación Sur de Autobuses (at Méndez Alvaro subway station). Both are more or less the same fast as well as prices. However, there are more buses (one every 30 minutes) than trains and some of the buses are direct (they don't stop at every village).
Regards,
Antonio
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