Vedbæk is on the Kystbanen (Coastal Railway) line from Copenhagen, which runs from Østerport and Hellerup stations north to Helsingør. Journey time from Copenhagen Central is about 30 minutes; from Østerport about 25 minutes. Trains run every 20 minutes throughout the day. The station is a three-minute walk from the beach and marina.
By car from Copenhagen, take the Strandvejen (Route 152) north through Klampenborg and Skodsborg; the drive takes about 30–40 minutes depending on traffic. The coastal road is scenic but can be congested on summer weekends.