"Mary Had a Baby" was collected by Ballanta-Taylor, but that book is rare. It seems to have had the 'train,' acc. to the extended version in "Hymns and Carols of Christmas."
www.hymnsandcarolsofchristmas.com/Hymns_and_Carols/mary_had_a_baby.htm
Mary Had a Baby

Azizi, I wonder what is fretnotgospel's authority for dating the song as 'pre-1865'? No one else lists it as pre-20th c. No early version listed in the Cleveland Index.
I have not seen a version without the 'train.'

Other versions in thread 39223. Mary had a Baby