Sigüenza is on the main Madrid-Zaragoza railway line, with regular direct trains from Madrid Chamartín taking roughly two hours. The station is below the old town; the climb to the cathedral is short but steady.
By car, Sigüenza is about 135 kilometres northeast of Madrid on the A-2 motorway, then the CM-110 regional road. The drive takes around 90 minutes from central Madrid in normal traffic. A car is useful if you want to visit Palazuelos, Pelegrina, or the surrounding villages, but not necessary for the town itself.
There are no regular bus services from Madrid that are convenient for a day trip; the train is by far the better option. From Guadalajara city there are local bus connections.