There are no Amtrak train stations in Wyoming, but Amtrak has bus service to some cities. The closest train stations are in Montana, North Dakota and Idaho.
Pictured above is the 1887 Cheyenne Union Pacific Railroad Depot, which no longer has rail service, but does have a railroad museum. A former Amtrak route, San Francisco Zephyr, once stopped at this station.
US Train Travel Guide 