BDTS (Bandra Terminus Station) is close to Khar Road Suburban station. If you get down at Khar Road by a local, you can take the foot over-bridge to BDTS.
Its the same situation as LTT (Lokmanya Tilak/Kurla Terminus), which is ironically not near to Kurla but to Tilak Nagar suburban station.
Hope this helps :)