train stations in London only each serve specific parts of the country.
Bath as you have seen is served by trains operated by GWR, and they all go into and out of London Paddington station. Areas southeast of Bath are also served by SWR which only serves London from London Waterloo station.
The main stations form a sort of a circle around central London, and are linked together, or nearly linked together when including those south of the river (Waterloo and London Bridge) by the Circle Line underground line.
To get to Oxford by train you need either Paddington station (GWR) or Marylebone station (Chiltern Trains, somewhat slower now).
To get to Canterbury you need either Victoria station (Southeastern) or for the very fast high speed HS1 Javelin trains you need St Pancras International station.
To get to Cambridge you either need London Bridge, Farringdon, City Thameslink or St Pancras International (Thameslink), or Kings Cross (Great Northern - fastest), or Liverpool Street Station (Greater Anglia - slowest and often cheapest).
To get to York you need (from London, there are other more expensive and slower ways) Kings Cross station (LNER, fastest, most frequent, goes all the way up into Scotland, LUMO (skips York and continues to Scotland, less frequent, or Grand Central Rail (infrequent).
So you can see that you need the right station, and understand the advantages and disadvantages of each operator.