We used trains from Zurich to Chur to Tirano, part on Bernina express. From Tirano, there is a direct train to Milan. If you don't want to take the Bernina Express route, there are routes Zurich to Milan. I advise looking at Google maps for a start. There are multiple ways to accomplish the route. Some go thru Rome, some thru Florence, and there were others. It really depends on what you want out of the journey. We chose to fly into Zurich on one of our trips to Italy because it was a much cheaper ticket and because we thought it'd be fun to use to Bernina Express.