As expected, you can get to Volgograd via train from pretty much any western Russian city worth its salt. Moscow (20 hours) and St. Petersburg (32 hours), and you’ll have to change in the big cities in order to head further west. Those heading in the eastern direction can find routes to Irkutsk (92 hours), while many major Central Asian cities are also on the timetable. The station is handily located on Railway Station Square and is a Stalinist piece of work. Fans of communist architecture may well get excited about such things.