After infiltrating the Imperial Base, Sabin and Shadow meet Cyan and go south to the Phantom Forest.
Follow the straightforward path through the forest. When the path splits, go up. Then go east, and go north at the end to reach the Phantom Train.
Go toward the train and there will be a cutscene. Then go to the left and go to the door of the train car to get on board, then after the cutscene, try to leave the way you came in. On the Phantom Train, there are enemies that you won't have another chance to fight after this. Sabin's AuraBolt/Aura Cannon works well against the enemies on the train.
46. StillGoing/Living Dead
50. Whisper/Angel Whisper
After you try to leave the train the way you came in, go to the right until you are in the rightmost train car. Talk to the ghost to have it join you. In battle you can use its Possess skill to instantly kill an enemy, but if you do, the ghost dies too. The ghost isn't very strong, but at least it can help by being another target for enemies. After getting the ghost, you can go through the door to find a save point.
Leave this train car and go to the left. You can talk to ghosts in the train, but they are likely to attack. However, some of the ghosts will sell you things, and other ghosts will want to join you if your other ghost dies. The merchant ghost sells Tonics/Potions, Potions/Hi-Potions, Antidotes, Green Cherries, Fenix Down/Phoenix Down, Sleeping Bag, and Shuriken.
After going to the left, you eventually you reach a train car that doesn't have a side door. Go around to the front and enter the door there. Go inside until a ghost blocks the door, then talk to that ghost to fight it. After the cutscene, climb up the ladder, then go all the way to the left of the train car. Sabin will jump.
After Sabin lands, go left to enter the train car. Flip the switch. Afterward, go inside and flip the switch again.
Keep going to the left. In the car with the tables and chairs, sit in the chair at the middle table to be healed up. Leave the dining car the way you came in, then go to the left side of the train car and enter from the left to find a chest.
Continue going west. In the train car with rooms, go into the first room and walk up to the chest to fight Siegfried. He is weak, so just use regular Fight attacks against him.
If you want a Tent, go into the second room and check the top-left corner. Then leave the room.
Continue going to the left. You will reach another train car with two rooms. The second room has several chests. The far-left chest contains a monster in a box known as Specter/Apparition. You win a Hyper Wrist if you beat it. If you fight it, have Sabin use the AuraBolt/Aura Cannon Blitz (Down Down Left), Cyan should use SwdTech/Bushido 1, and Shadow should throw Shuriken. Or if you still have a ghost with you, you can instantly kill the Specter by having the ghost Possess it. You are already almost done with the Phantom Train, so it doesn't much matter if you lose your ghost at this point.
From this train car, go to the left and you will find a small train car with a door on the front. Go inside to find a save point. Go outside and go left, and you will reach the engine car. Go inside, flip the left switch and the right switch, then leave.
If you don't have any Fenix Downs/Phoenix Downs, you should go to the train car to the right of the train car that has a save point inside. A couple of the chests in the second room contain Fenix Downs/Phoenix Downs.
On the engine car, go all the way to the left and check the chimney. You will battle the Ghost Train. You can just use a Fenix Down/Phoenix Down to kill it instantly. If somehow you don't have one, or you just want more of a challenge, then have Sabin use AuraBolt/Aura Cannon against it, and make sure all three of your party members stay alive, because the train won't use Evil Toot/Diabolic Whistle as frequently (this move inflicts a random status ailment).
After the battle, watch the cutscene. After the cutscene, just wait for a while, and then you will automatically leave.