Buses are pretty comfortable and some have wifi. Almost always cheaper than the train and often leaving more often. Trains are usually pretty comfortable (some exceptions of course) and some have wifi and some don't. Usually more expensive. This summer I took eight different trips during my 6 wks in Spain by train and bus. Some were train/bus connections, others just bus or just train. If I were going to Astorga from Madrid, I would probably take the bus from the Airport. It is just easier than getting to the train station from the airport when you are tired after a long flight to catch a train. However, if you plan to stay overnight in Madrid the first night then the train could also be a good option.
Going on to Santiago or Leon adds another leg to your flight and sometimes that is the next day and then you still have to get to the bus/train station to take a bus or train to Astorga.
However, all these options are usually possible and it just is up to you. I am always very jet lagged when I arrive from the States and need a couple of days before I can start walking. I like to stay overnight in Madrid, travel to where I will start walking by bus or train and then stay another night to help me overcome the jetlag.