J Daddy:
That scene was filmed in "Old Tucson," an outdoor movie set where hundreds of movies, TV shows and commercials have been shot. Think "Rio Bravo" (John Wayne), "Tombstone" (Kurt Russell), "The Outlaw Josey Wales" (Clint Eastwood), etc. That steam engine is on display there and is probably still available for movie scenes. "Old Tucson" is located near Tucson, Arizona and is open to the public (when not shooting).
John