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.
- 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 trains without tenders that were driven 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: A Wild 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.
- If any character is hit by a train, they are instantly killed.
- The Modern Electro Train is the fastest train in the series.
- There is a little similarity between Jean Bison's Iron Horses and Toothpick's Gold train: they are both old-fashioned, 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.