Upvote:2
If you are departing from Hua Lamphong Train Station then you can exchange money there according to IHateTaxis.com. I guess they will be open 24 hours, the ones at the airport are open 24 hours and I think they are open 24 hours in major train stations as well.
Furthermore, a quick Google search shows that most major train stations have either money exchange services and/or bank offices that do exchange services.
Upvote:2
Having now been and done this, I can say I didn't find any pure banks/exchanges open at 5am. However there was an exchange that did the same as my hotel doing a pound to bhat then to dollar conversion.