Siam Square is an entertaining area located in Pathumwan District, Bangkok. Siam Square itself offers restaurants, coffee café, tutoring schools, cinemas, clothing shops, and so on. Besides, it also connects with several shopping malls. From Siam Square, you can walk to Siam Square One, Siam Paragon, Siam Center, Siam Discovery, and MBK Center. It is quite easy to travel from Siam Square to other point of interest in Bangkok because it connects with BTS Skytrain. So, many tourists stay in this area during their visits in Bangkok.
Soi Cowboy is one of the red-light districts in Bangkok. It is a short alley located between Sukhumvit Soi 21 (known as Soi Asok) and Sukhumvit Soi 23. There are about 40 bars in that alley and you can expect to see tourists here. Soi Cowboy is in a walking distance from BTS Asok Station or MRT Sukhumvit Station.
In this post, I will share you how to get from Siam Square to Soi Cowboy. Since both places are close to BTS Skytrain, I do recommend you to take BTS Skytrain to travel between these two places. Just take BTS at Siam Station and get off at Asok Station. Then, take exit 3 and walk through MRT Subway (so, you do not have to cross the road at the intersection).
Hope this information helps!