The closest train station is Umaria. Sleeper trains run from Delhi and Agra. Umaria is a jeep ride from Tala, the village at the Main Gate to Bandhavgarh.
Tala Bandhavgarh is well connected to Katni which is one of the major railway junctions nearby. Generally it takes 2-2.5 hrs and you can easily get vehicles to and from the station by jeeps or similar vehicles waiting at the exit of the Umaria railway station.