When a train set is assembled properly, it gives a special "Set Bonus" to each wagon in the train. This bonus is added to any other bonuses, such as individual wagon bonuses, a locomotive bonus, and bonuses from buildings.
The train sets are grouped according to how they may be purchased or acquired.
Shop Train Sets
Limited Train Sets
Reward Train Sets
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Special or Vintage Offer Train Sets
Starting with the 9 Sep 2014 Game Update, a train set must consist of the set locomotive and the same number of set wagons as the full power of the locomotive. This is the only way for a player to receive the Set Bonus.