The Pena Palace is located in Sintra. Sintra can be reached easily by train from Lisbon. You should arrive to Santa Apolónia train station and take the train to Azambuja. When you arruive to the train stop called Braço de Prata (only 5 minutes ride) you should get in the train in direction Sintra. The ride takes approx. 1h 10 minutes.