You need visas. These little pieces of paper can prove to be one of the most expensive and time-wasting tasks of your trip. So, the first advice is: start thinking about visas at least one month in advance. Particularly if your aim is the Trans-Mongolian, since you'll have to cross three countries, each with a different visa.
Let's start with China: surprisingly enough, the Chinese is the easiest visa you'll get. Discarding the patience to wait at the consulate (and there is a Chinese consulate practically in every country), you'll just need to compile a couple of pieces of paper, give a photo, some money (not too much, though far more for US citizens than for EU citizens), wait a few days (3 to 7) and off you go. You have to enter before 3 months from emission and you can stay for up to a month. Pretty flexible, for one of the last Communist countries. No real limit on where to go, either.
Mongolia: you have two options here.
- You only want a transit visa (valid nominally 5 days from when you enter the country; consider though that you'll need 1 to 2 days just to cross the country with the train), in which case you should go to the Mongolian consulate only after you already have the Chinese visa (if your final destination is China) or the Russian visa (if your final destination is Russia). If in doubt, get the Mongolian visa last. In theory, it should be possible to get the visa also at the border, but better safe than sorry.
- You want to spend a few more days in a yurt, so a transit visa is not enough. You should then get an invitation from a Mongolian entity (the Mongolian consulate itself suggested Zaya Hostel, 10 USD for an invitation letter).
- The third option is to have US, Israeli or another citizenship which allows you to travel visa-free to Mongolia.
In any case, the Mongolian visa process should be very fast (should you manage to find a Mongolian consulate near you, which is not necessarily easy): in Budapest, the visa was made by the Consul himself while we were waiting.
And finally, Russia. Probably one of the messiest visas in the world. You need an invitation letter, then you have to compile one or more papers (more if you are an American), including the exact dates of your visit (and have valid insurance for that period) and a list of the places you want to visit, and a photo. Advice: use a specialized travel agency. Even then though, it might be tricky. For example, if you are a US citizen in Europe and cannot prove that you will have a job there for 6 months you might see your visa refused. In such cases, it might be easier (although a bit stressful) to send your passport to some agency in the USA and get it back via post.
Plus, once in Russia, if you stay for more than 3 days in a place, you should register your visa there. Hotels will do it for free, otherwise you can ask hostels or travel agencies who will do it for a fee.
Oof! That's quite a lot. Still sure you want to go?