I have just realized how important it is to do some research before you travel. We decided to take the train from Moscow to Kaliningrad (where my husband`s family live). After all, we have taken the train before from St. Petersburg to Moscow in 2008. So how difficult can it be?
If you don`t know the demographics of Russia then this is a major problem. Kaliningrad is not `inside` the borders of Russia. To get to Kaliningrad from Moscow, you have to travel through Lithuania and Belarus. This would require a Belarus transit visa (train from Moscow to Kaliningrad goes to Minsk and then Vilnius and then Kaliningrad). These transit visas needs to be obtained before the time and you need to have prove of your train tickets when applying for the visas.
In addition you also need to make sure that you have a multiple entry Russian visa. The reason is because you are basically entering Russia twice. Once in Moscow and another time in Kaliningrad. I know it sounds crazy but it is how it works. A single entry Visa will not get you into Kaliningrad.
Visa requirements are complex and it is wise to spend some time familiarizing yourself with the requirements. If I didn`t do some research before the time I would have had a major problem.
The best way to get from Moscow to Kaliningrad is to fly. Flights are not very expensive and you safe all the hassles of dealing with transit visas.