When Harry receives his first letter from Hogwarts ("The Letters From No One", page 30 of the UK adult hardback), the address confirms that the Dursleys' town of Little Whinging is in Surrey. Yet when Harry is returning home after buying all his wizarding stuff ("Diagon Alley", page 66, same edition), he does so from Paddington Station.

Surrey is south of London, so to get there one would board a train from Victoria or from London Bridge. Trains from Paddington head westward.