Getting to get to Siguenza by train from Madrid. Whether you come straight from the airport or spend the night in Madrid you will need to get to Madrid-Chamartin station. Either way its straight forward and involves one train.
When looking for the train online select "Experiences" you won't find Siguenza under Cercanias (commuter).
The train operator is Renfe.
the 21st Timetable looks like this:
departs 07:24 arrives 09:07
departs 08:00 arrives 09:33
departs 12:30 arrives 16:17
departs 15:43 arrives 17:17
departs 16:00 arrives 17:58
departs 19:02 arrives 20:33
departs 19:47 arrives 21:53
The return journey train times for the 23rd are currently
departs 10:07 arrives 11:36
departs 11:44 arrives 13:36
departs 16:17 arrives 18:09
departs 18:17 arrives 19:50
departs 20:34 arrives 22:08