The very modern, privately owned and run Eusko Tren (nicknamed "El Topo") runs half-hourly services between San Sebastian and Hendaye, and hourly services between San Sebastian and Bilbao.
Fares are very cheap (€1.70 for a single San Sebastian - Hendaye) and Pensioners can travel any route for just 50 Euro cents.
The Eusko Tren station in Hendaye is conveniently located right next to the RENFE railway station (with connections to Bayonne, Bordeaux, Paris).