In his magisterial "Long Steel Rail: The Railroad in American Folksong" (1981) Norm Cohen writes (p. 630) that "This Train" was first recorded by Wood's Blind Jubilee Singers in August 1925. Between them and 1931 three other Black singing groups released their own versions. Cohen says he can find no reference to it earlier than 1925, though other vernacular songs in circulation also used the railroad as a Christian metaphor. I infer that "This Train" was composed sometime in the early decades of the last century.