Trains are a source of transportation in Dunwall. They are powered by whale oil-electrified rails. Other than ferrying cargo, trains are utilized to transport the bodies of rat plague victims to various dumping sites across Dunwall, where they are simply dropped down from the rails by tilting the train's cabin to the side. Trains carrying and disposing these bodies are referred to as 'corpse carts' by the local populace of the Flooded District.
They are the only vehicle that can be "ridden" by jumping on top of them, other than the boat Corvo arrives on in the prologue and the Amaranth in the opening cutscene of every mission. It is revealed in The Flooded District that people have tried to escape from the Flooded District by riding on trains, but that most attempts only result in death.