A train is any vehicle that travels on a track. There are three Episodes, two in Sly 2: Band of Thieves, and one in Sly Cooper: Thieves in Time which include a moving train, and in every one of them the train is connected to the plot, but you can only enter two of the trains in jobs. There are four trains in total throughout the whole series.
- Modern Electro-Train: A modern train with very high speed which appears in Prague's first episode: Jailbreak. The train terminals were hacked by Bentley to make the train crash in to the wall near Sly's cell, and it happened eventually and stopped the train movement forever.
- Three Iron Horse Trains: Old-fashioned steam trains without tenders that were owned by Jean Bison to transport spice. Each one had a Clockwerk part and each was entered by the Cooper Gang. Nothing else happened to them after the Cooper Gang robbed the Clockwerk stomach and lungs since they'd finally came to a stop.
- "GoldDigger Express" Train: An old Western train in Cotton Mouth Bluff that Sheriff Toothpick stashed his Gold in. There "Tennessee Kid" Cooper committed a heist and Sly Cooper fought Toothpick. Although one 4-4-0 tenderless engine ran around Cotton Mouth Bluff, the other train appeared to be more of a steam turbine than usual. Also, it ran on three sets of track instead of one. It ended up falling off a collapsed bridge and down into a ravine after Sly defeated Toothpick.
- The Modern Electro Train is the fastest train in the series, and the most modern.
- There is a little similarity between Jean Bison's Iron Horses and Toothpick's Gold train: they are both old-fashioned steam trains, as they are approximately from the same era, they are both entered and the player can get on top of them, given their medium speed.