in a nice "making of" in the special features, they give a bit of info... this town has at least 2 trains of the few Narrow Gauge steam locomotives available, and so they filmed a lot of the movie in Chamas New Mexico
in the movie the train number changes from 550 to 557, but it's 484, 487 or 488 if you see them today Cumbres & Toltec Scenic Railroad http://www.chamavillage.com/ctsrr.html
In February 1880, the Denver and Rio Grande Railroad began construction of the San Juan extension, a route that went from Alamosa, Colorado to Silverton, Colorado by way of Cumbres Pass, Chama and Durango.
Railroad service to Chama began in February, 1881 and facilities for servicing railroad equipment, a depot, warehouses and stockyards were set up along the route surveyed for the railroad. The brief period of construction from 1880-1881 was one of the most exciting episodes in the area’s history and Chama almost immediately became a boomtown.
The possibilities for development attracted both industrious and disreputable characters from all around. Individuals interested in developing the coal mines in Monero rapidly appeared on the scene as did representatives of the lumber industry, laborers, engineers and contractors to build the railroad and buildings required to accommodate the mass of people attracted to the booming railroad town of Chama.
For many years Chama remained a rowdy and exciting place to be. It was a very prosperous town with plenty of work and a great deal of entertainment in the forms of saloons, gambling houses, moonshine stills, etc. Groceries were expensive and outlaws, such as the Clay Allison gang, regularly held up the railroad pay car construction camps with large payrolls, saloons and gambling houses.
In the past, the main industries of the area were logging, mining and sheep and cattle ranching. Before the logging industry clear-cut much of the timber, the vast grasslands one now sees, were hundreds of square miles of forest. In pre-logging days the forest was so thick that it was difficult for a man on horseback to negotiate his way through the trees. The sheep industry operated on a grand scale until the depression and the terrible winter of 1931-32 combined to nearly wipe out the sheep industry.
http://www.visitchama.com/