If you want to travel from Albania to Greece, you have to take a bus. There is no passenger railway connection available between Albania and Greece.
There are direct buses on the route from Tirana (Albania) to Thessaloniki (Greece). Thessaloniki is connected to the railway network of Greece and as well to international destinations.
If you want to travel from Albania to Italy the direct way, you have to use a ferry. Ferry connections are available for example from Durrës (Albania) to Bari (Italy).
There are no trains operating between Albania and Kosovo, however frequent bus connections are available, for instance from Tirana to Pristina. Buy your bus tickets locally.
There are no passenger trains between Albania and Montenegro. To cross the border, travel by bus or minibus. There are frequent conections betwen Shkoder and Ulcinj as well as services from Shkoder to Podgorica and also long distance buses operating from Tirana via Shkoder and Podgorica to Kotor.
There are no train connections between Albania and Macedonia. However, there are direct buses available, for instance between Tirana and Skopje.