Thank you for this thread. I was going to go with train to and from Burgos but will now use the bus instead. And the ALSA website works so much better than the Renfe one :)
Just for the record, I'll add that there's a Madrid -> Burgos train, which is what I once used. Though to be clear: looking at what others have said about the bus option, I'm not actually suggesting this as a better option.
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