'Train of thought' is a headline from the AFP on a story about drivers on the London Underground who have started reading out quotes from thinkers and philosophers, along with the usual announcements urging passengers to "mind the gap" and warning of delays.

If someone talks about their train of thought they are referring to the interconnection in a sequence of ideas, especially when discussing how this sequence leads from one idea to another.  Of course the headline is referring to the actual trains and the idea of making passengers think.