The Trans Eternal Railway, commonly known as The Train, is a transport device which connects Neighborhood 12358W to other locations in the afterlife. It is the only way in and out of a neighborhood and can only be summoned and operated by a Janet.
The train has the appearance of an Earthly steam train, complete with steam, though it probably does not actually work like one.
The train is first seen when it brings Trevor, Bad Janet and the rest of the Bad Place crew to Neighborhood 12358W. Soon afterwards, Shawn also arrives on a train, which Eleanor, Jason and Good Janet hijack to visit Mindy St. Claire in The Medium Place. During the succession of failed reboots, various combinations of Neighborhood 12358W residents use the train to visit Mindy again, though they have no memory of having done so previously.
As the train is the only way in and out of a neighborhood, it was presumably the way that Michael and the demons arrived in Neighborhood 12358W in the first place, though this has not been confirmed. It is however strongly suggested by the fact that it is how the demons leave in Chapter 22. In that episode it is also seen that Derek, who is Janet's creation, is also capable of driving the train.