Trains are the most important symbols in the story of Anna Karenina, due to their prominence in the Anna/Vronsky story line. More specifically, trains are a destructive element throughout the novel. Vronsky and Anna first meet at a train station, where a drunken guard is crushed to death. Anna calls the death an omen of evil. Her first encounter with Vronsky is thus overlaid with the specter of death. In some sense, Anna fulfills her own premonition by choosing suicide via train. Vronsky too uses a train as the engine of his death, as it carries him to a war where he is determined to die. The train motif thus brackets the novel in a negative light.
It's possible to go further with the train symbolism – that trains not only destroy Anna and Vronsky, but Russia's old way of life, in favor of an industrial capitalist system. You can also think about the idea of trains as transportation, and draw a parallel to Anna being transported by love away from her duties and responsibilities as Madame Karenina.