Well, that's quite a journey and you can't do it all overland.
Cambodia to Thailand you can do better by bus than train.
Thailand to Burma is tough overland, not many ways to do this, and flying in is far easier and getting easier all the time. You can even fly from Chiang Mai to Mandalay now.
Crossing from Burma to either India or Bangladesh is nigh impossible overland. Forget it. Fly.
Then from India to Nepal is pretty easy; bus or train.
That's one hell of a journey and requires a great deal of planning and effort. One hell of an experience though. about 5 years ago