From Agra/Delhi/Gwalior: Take a train to Jhansi station, and then you have two options. The easier but more expensive option is you can hire a car or auto-rickshaw to Orchha which is 15KM away. By auto-rickshaw, it takes about 40 minutes; by car, 20 minutes. The listed price at the pre-paid taxi stand was 200 rupees, however, you'll have to negotiate the price with the driver that you take. A cheaper way is to pile into one of the auto-rickshaws outside the train station which serve as a bus shuttle-- see if it's going to the bus station, which should only cost 10 rupees this way. From the bus station there are other shuttle auto-rickshaws that head to Orchha for 20 rupees per person, though you might have to wait a few minutes till it leaves; they only go when full.
You can reach Orchha while returning to Jhansi from Khajuraho, as a detour. While coming to Jhansi from Khajuraho, when you reach on the outskirts of Jhansi city, take left on the Orchha Tigailatriangle. That road will lead to Orchha.There is a small railway station at Orchha in which only very few trains stop. Jhansi - Khajuraho Passenger229A has stoppage at Orchha. Khajuraho - Jhansi passenger 230A reaches Orchha by 4:45Pm. Orchha railway station is 5Kms away from Orchha town. Hire a rickshaw and pay Rs. 50 max to get to Orchha.
