Thessaloniki is Greece's hub for international rail service. Trains connect Thessaloníki to Sofia, Bucharest, Budapest, Istanbul, and other international destinations.
From Thessaloniki, if you want to continue by train, the nearest station would be at Patras (almost 9 hours).
For more information: http://www.trainose.gr/en
From Patras you can either hire a car following the route
or take a coach to Corinth and then switch and take a coach to Neapoli - Laconia
(information: http://ktelkorinthias.gr/en/isthmos-nachaias/isthmos-aigio-patra)
It is highly advisable to go to Athens instead and then continue by coach
For more information: http://www.trainose.gr/en