As seen in "The Original" and subsequent episodes, the period replica steam train in Westworld (referred to simply as The Train) brings the guests from the Westworld Mesa Hub to Sweetwater. Because it is an archetypal frontier town, Sweetwater lacks a conventional train station, but includes a Train Platform for the same purpose. Aside from the main route between the Mesa and Sweetwater, the Train also transports guests through several other regions of the park.
The steam train was used by Wyatt's gang in the episode "Phase Space" as a bomb to attack the Mesa. The train collission and detonation in the Mesa train depot would cause a chain reaction, damaging the lower levels of the facility.
William going through the entrance to The Train bound for Westworld ("Chestnut")
Westworld panorama with the train, full steam ahead