Armored Trains consciously follow Link's Train. However, they are restricted to certain areas, allowing Link to evade them. Armored Trains also have the ability to turn around at any point on the Spirit Tracks, and cannot be stunned. They move slower than Dark Trains.
Armored Trains are first seen after Link opens the Gate to the Ocean Realm. The majority of them are centered in the first part of the Dark Realm, where Link must destroy six Armored Trains, aided by Tears of Light scattered the Spirit Tracks. After killing all but one in the Dark Realm, it will come after Link without regard to any path.
The following section is not part of the Zelda canon and should not be taken as such.
Super Smash Bros. for Nintendo 3DS
Armored Trains appear on the Spirit Train Stage in Super Smash Bros. for Nintendo 3DS. They may ram into the Spirit Train, slowing it down while pushing it towards the edge of the screen. They also appear as a Trophy.
These invincible trains really have it in for Link, even changing course if they need to. The Spirit Train can't outrun them, so the only option is to let loose with Tears of Light and destroy them. When they appear on the Spirit Train stage, they get in the way and change the speed of the train.
RandomCan be obtained in Classic Mode, in All-Star Mode, in Trophy Rush, in Smash Run, or purchased from the Trophy Shop