In the "Old World" you can upgrade your citizens from "Farmer" to "Worker" than "Artisan" and than to "Engineer" and after you got engineers you can build railroads.
Build up your concrete capacity, than build railway from an oil refinery to a small oil harbour and there is your 1st train and your achievement.
Same as console version.
https://www.trueachievements.com/a386674/choo-choo-achieveme...