Train 35 goes daily from Bangkok, down Southern Thailand to Butterworth (Penang). Train 36 returns.
You didn't say if you were returning to your starting point in Thailand. And if this is a visa run. That might help you to choose whether you fly both ways, take train or bus both ways, go by train and return by air, etc.
Note that train 35 carries several different types of carriage as far as Hat Yai, but only carries a couple of cars (both 2nd class aircon sleepers, I believe) through to Butterworth. Make sure that your booking is for a through car, if you go by train.
from Hatyai you can directly to KL By Plane, Bus, and Train
Train is a very easy option. Lots of people do visa runs this way. You can also get a mini bus to Penang.
If you are doing a visa run you might want to read this:
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