Aljezur is not served by train. The nearest rail connection is at Lagos, about 50 km southeast, which is on the Algarve line from Faro and Lisbon.
From Lagos, the EVA bus company runs a service north to Aljezur several times a day, continuing to Odeceixe. From Lisbon there are direct express buses to the western Algarve. The journey from Lisbon by bus takes roughly three and a half hours.
If you are driving, the IC4/N120 runs west from the main A22 motorway (Via do Infante) to Aljezur. The roads to the beaches are mostly good tarmac. A car is essentially required if you want to explore the coastline independently — public transport within the municipality is minimal.