* If it's a single word: Capitalize the first letter. For example: The Orient Express, The Flying Scotsman, The Sunset Limited.
* If it's multiple words: Capitalize each word. For example: The Amtrak Capitol Limited, The Caledonian Sleeper, The Eurostar.
There are some exceptions:
* If the name is a number: It's usually not capitalized. For example: Train 123, The 7:30 express.
* If the name is a combination of letters and numbers: Capitalize the letters, but not the numbers. For example: The Acela Express, The ICE 1.
Always remember to use the same punctuation style throughout your writing.