Aqtau has an international airport (SCO) with flights to Almaty, Astana, and several Russian cities. A railway line connects the city to the rest of Kazakhstan via Aktobe, though the journey is very long.
The Caspian ferry to Baku, Azerbaijan is the most adventurous option. The crossing takes roughly 12–20 hours depending on weather and loading, but there is no fixed schedule — the ferry departs when it is ready, and you may wait in the port for 24–48 hours. Bring food, water, and patience. Passenger cabins are available and reasonably comfortable. The crossing is genuinely atmospheric: flat water, open sea, nothing in sight for hours.