I went to cross country website the train company that runs the Aberdeen to Penzance train. However I could only find the service in the southbound direction. It appears there is no return train? No idea how the train gets back to Aberdeen?
There's a through Aberdeen to Penzance service in the southbound direction Mondays-Saturdays - in the northbound direction, the closest you can get is Penzance to Edinburgh, or Plymouth to Aberdeen on Fridays & Saturdays.
The Aberdeen the Penzance service is formed by a train which runs empty from Craigentinny depot (near Edinburgh) to Dundee, then in service from Dundee to Aberdeen (bizarrely it runs non-stop, being the only train to do so over this section -
see here). The reverse happens (albeit running in service back to Edinburgh) for northbound CrossCountry services to Aberdeen, as XC don't have a depot at Aberdeen.
I also really couldn't recommend making the journey using the direct train. It's a very long way to go, and though you'd get some drinks and light snacks in first class, you'd definitely want to bring your own food. The only food & drink available for purchase is from a trolley - there's no buffet, nor is there (normally) hot food. You'd be on a
Voyager train with a fairly loud underfloor engine, so it's not the most comfortable way to travel such a long distance, regardless of class of travel.
I'd far sooner fly (see below), or if travelling by rail I'd go via London to break up the journey. The trains you'd use to/from London (
Hitachi class 80x) are quite a bit quieter and more comfortable (in my opinion). The onboard catering, at least between Aberdeen and London, would also be a lot more comprehensive. If you timed it right, you could even take a train with proper Pullman dining service between London and Plymouth.
Was the extremely high price of the tickets a first class ticket was well over 700 British Pounds one way! This in Australian Dollars is about $1500 almost the cost of a flight from Melbourne to London in economy! I wouldn't have expected this train to be anymore than AUD$ 200 each way.
I'm not sure where you're getting £700 from? The cost of an Anytime First Single for that journey, when avoiding London,
is £429. You should be able to do it for a lot less than this with Advance tickets (these tie you to a specific train), as well as if you buy a combination of tickets (known as split ticketing - this doesn't entail additional changes, it just means you might have an Aberdeen-Edinburgh and Edinburgh-Penzance ticket for instance).
You could alternatively use a Britrail (GB only -
see here) or Eurail (Europe-wide -
see here) rail pass. That would likely save you money just on this journey, let alone any other journeys you may undertake in Britain or Europe on your trip.
I was looking for a Friday train 8/12/23 and a Monday train 11/12/2023. I would perfer a direct train to avoid any dodgy connections anywhere.
That's understandable, but where are you actually travelling to and from, and what are your wider travel plans? This may help us to suggest the best option.
Overall, British trains, and particularly CrossCountry, are fairly reliable (other operators such as TransPennine Express and Northern, less so). If you allowed, say, 30 minutes for a connection, you'd be pretty unlucky to miss it. The other key thing is that there's a frequent service along most lines, so if you miss your connection it's unlikely to be a big deal. There's at least 1-2 trains an hour along the route between Aberdeen and Penzance - on many sections, more than that.
Perhaps a road coach or direct flight (must be business class) could be cheaper option?
There's no direct coach - the market between Aberdeen and Penzance (and most intermediate cities) is quite small. You'd probably need to take a coach from Aberdeen to London (12+ hours) and London to Penzance (8+ hours), but frankly you'd have to be a glutton for punishment to do so! Given that you say first or business class is a must, I can't exactly see this being a suitable option for your travels.
Aberdeen has an airport that's fairly close to the city centre (you can take a short bus or taxi from the city centre). The nearest airports to Penzance are Land's End Airport (but this only has flights to the Scilly Isles) or Newquay (a 1-hour, 40 mile taxi or 2-hour, 1-change bus-ride away). Newquay town has a station (a short bus journey from the airport), but the line takes you the 'wrong' way to Par, where you'd have to change again for Penzance, so it takes quite a bit longer than taking the bus all the way.
There's a daily Loganair flight from Aberdeen to Newquay that involves a stop in Manchester. I
think you can stay on the plane, but the website isn't entirely clear on this point. There's no business class on this flight, nor is there on any other flights to Newquay.
It's worth noting that most business class flights within Europe involve the same seating layout as economy, but with the seat next to you blocked off. The main advantages are to do with the airport experience (usually you get fast track security, lounge access & priority boarding), luggage allowance, sitting towards the front of the aircraft and being served food & drink.
Loganair is more of a full service carrier, so you get many of these things anyway. Aberdeen isn't a huge airport and the plane only has 70-odd seats, so fast track etc. wouldn't really offer you huge advantages on this sort of flight.