Don't forget anything in the train.

改成 Don't forget anything on the train.

准确来说on the train是固定搭配，表示人“坐火车”的意思
如I am on the train now. 我正在坐火车

in the train是在火车上，I am in the train不一定是坐火车，比如我是警察，上去火车上做贼，贼完贼就下来了。我同事问我你现在在哪，我可以回答i am in the train (for catching the thief), 我在车上将要抓贼

还有my bag is still in the train。表示我的包包还留在火车上。