Men are seen chopping wood to fuel the locomotive, but the smoke from the stack is black, indicating that it is probably really oil-fired.
Although most of the outdoor scenes for "The Bullet" were shot in Arizona, during this segment Doc and Father Sanchez, each trying to boost their courage, stand in front of a really obvious painted backdrop and pretend they are outside the studio. (The only other outdoor scenes were shot in Los Angeles on a studio back lot where passengers get on the train in Dodge. Doc is present for those, as is Matt. The rest of the show is done on sound stages.)
As Doc Adams and the priest are talking (obviously on a stage with a backdrop of the what the scenes should be around them), the train is visible behind Doc. Then the camera moves toward the priest, then back to the doc, the train is now missing and continues to be gone for the rest of the conversation.
Jack Sinclair and an associate chase the escaping train and board it, while four other gang members fire at the train from a gold-laden wagon which they have pushed as far as the train tracks. When they stop shooting, somebody says: "They're on the train! They'll stop it!" But the (dubbed-in) voice doesn't belong to any of the four actors on the tracks - all of whom sound very distinctive.
Near the end, when Doc tells Matt to try to move his legs, Matt say, "I can't," but his lips say something else.
The thieves put the gold into a standard wagon, which isn't built for that kind of load. It should have collapsed under the weight. Furthermore, there is no way that a group of men could move by hand such a heavy wagon.