Most trains will have a baby changing facility, but it won't be on every carriage and generally isn't very well marked. So, it means walking through carriage after carriage to find it.
Personally, depending on the age of my child I just change them on my knee. My MIL taught me how to do it the "old fashioned" way. (Well, it was more me watching, seeing how well DD behaved and then trying it at home.) Personally, I and the kids prefer it to mats any day.
I'd recommend trying it at home sitting on the floor (legs out in front of you), with baby across your lap (adjust how wide your legs go according to baby's size), as you have more control over how much they wriggle. Then, gradually move up to sitting on settee etc. But do remember to put something underneath baby's bum (cue the Muslin squares) when changing.
It's great for changing baby's clothes too.