The gang will be performing a major job this time; a train robbery. Ride with the gang until you reach the ambush point. Dutch will send you to give a hand to Bill, who’s rigging explosives on the tracks. Carefully ride down and approach him.
Get off your horse and lend a hand. Pick up the wire spool and connect it to the detonator behind the rocks nearby. Once done, get back to your horse and regroup with the others.
After joining with the rest of the gang, open your weapon wheel equip your weapons then switch to your item wheel to wear your bandana to cover your face. Shortly after doing this, the train will arrive. After the botched explosives, you’ll have no choice but to jump on the train on foot. Follow the others as they leap over the other end of the tunnel on to the train. Lenny will be dangling in the side of the train so approach him and grab him. Mash the X button to pull him up.
Enter the first train car. Look out for items you can pick up from the tables and drawers, then loot the dead guard as well. Before heading out, stack up the doorway and you can either order Lenny to take out the guard or you kill him yourself. Either way, you’ll still have to continue pushing up while killing all the guards. Don’t forget to loot them as well.
Once you reach the engine, Lenny will move up ahead but will end up getting strangled by the engineer. You’ll have to shoot him before he throws Lenny out to his death. You can aim for his leg or use Dead Eye. After killing the engineer, Lenny will pull the brakes and stop the train.
You’ll have to deal with more guards so take cover and engage them. Move from cover to cover as you engage more guards. Your cavalry will arrive and engage the other guards. Once the firefight stops, use your radar to locate all dead bodies around you. Make sure to take your time in looting all of them individually to get some money, ammo, consumables, and valuables that you can sell later on.
Once you’re ready, regroup with your gang to trigger a short cutscene. Shoot the train afterward. After failing to scare the guards inside, take some dynamite from Bill and approach the train door. Place the dynamite on the door then light the fuse. Quickly step back and wait for the door to blow up. Enter the train and search for the items you can loot. Use Eagle Eye to find these. Find the lockbox in the far end of the train car, under the shelf with the stuffed fox. Obtain the bonds inside then exit the train car.
Dutch will leave the guards’ fate to your hands. You can kill them, leave them alone, or threaten them back to the car. If you chose the latter, head to the train engine after forcing them inside, then start the train. Mission complete.