We are planning to travel from Beaune to Avignon by train. Do we have to go back to Dijon first? Or is there a better way to do that?
You don't have to go back to Dijon.
Go to this train schedule website, input Beaune and Avignon, it will give you the schedules. Click on "Show Details" to see the details of the routes.
You'll have to know whether you're going to Avignon Centre (train station in center of town) or Avignon TGV (high speed rail, station not in the city center).