The western side of Kentucky is serviced by the Fulton, Kentucky, Amtrak station. This line, called The City of New Orleans, heads through southern Illinois up to Chicago. The trip to Chicago is about eight hours. In Chicago you will transfer to the Empire Builder line headed west. It is eight hours until you reach Minneapolis. From Minneapolis there is not train service into South Dakota. The Greyhound bus serves several locations in South Dakota. Consult their website to find the bus stop closest to your destination.
Eastern Kentucky is home to both the Ashland and Maysville Amtrak stations. This is the Cardinal line that runs along the Ohio-Kentucky border, through Indiana and terminates in Chicago. The trip from eastern Kentucky to Chicago is 11 hours 30 minutes. From Chicago, proceed as described previously.
Louisville, Kentucky, does not have an Amtrak line running through it. Instead, Amtrak runs what they call a "Thruway service." An Amtrak bus will pick you up in Louisville and deposit you at the Indianapolis station where you can board the Cardinal train line described above. From Chicago, proceed as described previously. The bus trip from Louisville to Indianapolis lasts two hours.