Padang Besar is the land border crossing between southern Thailand and Malaysia.
To get to Malaysia from Thailand by land the easiest route would be from Hat Yai, Thailand. We were departing from Krabi, Thailand and the bus tickets needed to be bought locally. 120goAsia is the site we used the most to plan our routes in southeast Asia. Occasionally some search results will come up empty, which might mean the ticket needs to be bought from the local bus stop.
When you get to the Hat Yai bus station there's a table near platform 24 by the buses selling tickets. The staff will be selling tickets for a shuttle to Padang Besar (50฿ per person ~$1.51). When the shuttle is full it will leave, there is no set schedule, but the last one leaves around 7:00pm.
It took about an hour and a half to get to Padang Besar. By the time we reached the border crossing, the sun had set.
Foot traffic through the border was light, and we didn't have to wait to get our stamp out of Thailand.
From the custom house it's a 5-10 minute walk across the border to the Malaysian immigration office. At night, this walk was creepy! There were many parked cars and trucks along the road with people loitering around, and it smelled like rotten food. The Malaysian side of the border crossing was also very empty. We were stamped in quickly and made our way to the train station. There will be signs pointing to the train, it's hard to get lost. Look for a pedestrian bridge and a bunch of train tracks.
DO NOT FORGET, there is a time zone change at the Padang Besar train station. The time zone jumps ahead one hour. We almost missed the last train because we didn't notice the time! The last train leaves around 9:30pm.
For two people, because we didn't have Malaysian Rinngit, it cost us 80฿($2.41). The train ticket price depends on how far you are traveling.
Since we knew we would be commuting for most of the day we chose to stop in the first town on the train line Arau, Malaysia.
There are other ways to travel from Thailand to Malaysia, airplane, cab, etc., we chose the most budget friendly way. Plus, it's a great learning experience.