They get a bulk discount.
The rolling resistance of a steel train wheel on a steel train track is pretty low, you are then using a large enough diesel engine that the efficiency of it is most likely up in the 35-45% range (some large ship diesels are 50% efficient), compare that to the 22-24% of a gas car.
You of course have train cars that are not perfect, but they are so close together that each one of them is more or less drafting the one ahead of it in a very controller manner.
Fright trains also go at pretty reasonable speeds, 50mph or so.
I suspect that a semi-truck would have some pretty impressive numbers as well if it was fully loaded and going at an ideal speed.
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