The closest railway stations are in Aurangabad for the Ellora caves (45 minutes away) and Jalgaon for the Ajanta caves (1.5 hours away). There's also an airport in Aurangabad. It's possible to hire a car and drive between the ellora cave sites. Traveling time is around 2 hours.
Ellora is located 30 km from Aurangabad, which is quite well connected, to Mumbai and Delhi via Manmad by rail. Aurangabad can also be reached by road from Pune Ahmednagar, Jalgaon, Shirdi, Nasik, and Dhule.