Outside of China, I have never seen any place have strict security for trains. Some high-speed trains may have a bag check (Spain, Eurostar), but I have not encountered that in the 20+ countries where I have traveled by train. Logistically, it is much more of a nightmare than airports, and the risk factor is considerably lower. Remember that the train stops quite frequently, including in tiny towns in the middle of the night which may just have an open platform and no station or staff at all. The ability to board a train in any car is essential for trains, but it would require a baggage scanner to be placed in each car, and every conductor would need to put on their TSA hat whenever there is a station stop. One of the big selling points for trains is the ability to just show up and hop on board, without dealing with the multiple, time-consuming hassles found in plane travel.

Aside from the coordinated attacks in Spain several years ago, there have not been very many high-profile attacks on trains to warrant the incredible cost and inconvenience involved. A train is not like an airplane, where everyone is sitting in one concealed space, where escape is not an option, a crash would be catastrophic, and hijacking is a real threat. Ultimately, a terror attack would be far more effective if conducted externally, causing a high-speed derailment. As it is right now, a shooting onboard a train is not really any different from a shooting in any other public space, as each train car is fairly isolated and relatively easy to move around in (compared with a plane). Each car has multiple emergency stop controls, and multiple exits. A bomb would be more effective on the tracks, which would impossible to fully secure. Adding TSA-style checks to trains and public transit would create a nightmare which would essentially deal a death blow to the ridership. In the end, it is all about risk vs cost, and historically speaking, the risk is still quite low.