From Athens you can buy a combined bus/ferry ticket which will take you overland to the port of Agios Constantinos, where you can transfer to a boat to all three Sporades islands. If you have your own car, you can also drive to Agios Constantinos and take a car ferry from there, but bear in mind that not all scheduled boats carry cars, so you'll need to verify in advance which ones do. There are also some boats to the Sporades from the mainland port of Volos and from Kimi on the island of Evvia.
Only Skiathos has a commercial airport, but once you get there you'll find frequent boats to the other Sporades.