Train robbery

Train Robbery is the act of boarding, stopping, or derailing a locomotive with the intention of removing valuables from it. Train heists play a central role in several of the single player missions.

Red Dead Redemption

How to Rob Trains

Train heists are not supported in single player outside of specific story missions. In Multiplayer, trains are not present to be robbed in Free Roam and none of the other multiplayer game modes feature trains. As of now the closest thing to a proper robbery existing in the game is the killing of passengers and the looting of their corpses. However, you can also shoot any part of the train's lights and immediately pay the witness and still get a profit by robbing them after and then killing all occupants of the train.

How to Get on Trains

Players can however improvise and still rob a train. Marston can mount the train either at a station or by jumping onto it from his horse. However, if timed right, the player can simply climb onto the side of the train on foot standing still. Once on the train Marston can rob any person on the train except the conductor. Killing the conductor or killing any passenger will result in the train stopping. The train will resume its travel once Marston has left the general area for a certain amount of time. However, once you kill one person on the train the rest of the passengers (excluding the conductor) will run off.

Trivia

The first train robbery in the series is in Red Dead Revolver in chapter 4/5 during the mission "The Traincar".
Stopping the train on the long section of track across the cliff face near Bearclaw Camp will make robbing the train while stationary possible, as the passengers will have no where to run.
Promotional material said players would be able to take part in heists in order to get lots of money, but the player can only rob a train once in the whole game, during The Great Mexican Train Robbery (excluding repeating the mission).