The train reflex your life and the path youve chosen to take. If you are the one who controls where this train is going, then you are controlling perfectly your life and going on the direction that you have chosen. The train according to some interpreters is the symbol of sexual intercourse, especially if it is going through the tunnel, therefore if you dream about it, you have sexual desires, wishes and urges either. The other explanation tells that if you miss the train, you miss some of the chances in your life either.
Read more about dreaming of Train in other dream meanings interpretations.