I've noticed there is only one "direct" train from Budapest to Zagreb (train number 204 - Agram. This train departs Budapest Deli at 1.25pm and arrives Zagreb Glavni Kol. at 7.45pm. It runs daily.
I then checked Hungarian Railways at mav-start.hu, and found out that there are over 20 trains daily to Gyékényes. I was wondering if it'd be easy to get on any of the trains from Budapest to Gyékényes, then cross the Hungarian/Croatian border at Koprivnica, Croatia.
Btw, My final destination is Zagreb.
Thanks for your help.