Comment by IAmBroom

Well, the fuel - typically coal - heats a big container of water to the boiling point. The vapor is collected, and used as a force (because steam expands) to move the pistons, just like the ones moved by gas explosions in your car.

Then the conductor pulls the chain, and the train makes that whistle sound and spouts a lot of white smoke, which means you are nearing an old-timey town.