Talents as diverse as Deanna Durbin's charm and singing ability, Edward Everett Horton's flair for screwball comedy, and Dan Duryea's knack for portraying impish, enigmatic characters, are brought together here in a pretty good comic mystery. Neither the mystery story nor the comedy would have been enough to sustain a movie by itself, but they fit together well, with the help of an assortment of interesting characters and some well-chosen settings.
The mystery story is rather like a simplified (and less plausible) version of an Agatha Christie-style plot, and it seems likely that the similarity was intended. As you watch, you do want to see how it comes out, but in itself it's relatively insubstantial. The settings and characters provide more of the material for the cast to use. A couple of the settings were done quite nicely, especially the night club/dressing room set, which allowed for some interesting possibilities, and which also fits in pretty well with the story.
While it is true that nothing about "Lady On A Train" is exceptional, at the same time it has a lot of small strengths that add up to an enjoyable movie.