Instructions
Navigate to the town of Armadillo in "Red Dead Redemption," if you're not already there. Armadillo is labeled on the in-game map, accessible via the "Start" menu.
Go to the train station and wait for the train to arrive. The train station is labeled with an icon of a train on your on-screen directional map. Wait patiently for it to arrive and stop, if the train is not at the station.
Move your character onto the train.
Press "X" to sit down in one of the seats on the train. Wait patiently until the train starts to move, at which point it will take you to the various villages and towns along the train lines within the game.