Fatman : Sorry hit post button by mistake...anyway the closest set I found was:
Set 5005 Steam Freight Set which had the CP type 0-4-0 loco in gray and black with the NYC type 551 tender . My strongest clue here is that this set came with a transformer, track, and most importantly a pair of switches. Now here is perhaps a mystery, besides the two cars you showed (they are the same as the set listing) it also included a Cattle Car, no 59 (UP brown), a Gondola,no 552 (CRI&P, green) and a Refrigerator Car,no. 555 (C&S, blue top). None of these cars are particularly rare and often appear on e-bay.
The best clue to the fact that this MIGHT be the set would be the transformer. The one in this set was a type 729, 45-watt and if these numbers match then not only would it ID the set but it could help date the year of manufacture.
Now the components :
Hopper is a no 1678 Northern Pacific and it was made between 1938 - 1953. T/S couplers date it to before the plastic knuckle coupler date
Tender is a no 551(C or N) if a C it was made between 1936-1938 and as an N it was made from 1940-1952 (of course allowing no trains were made from '42-'45). The distinction between these lies in small details you can't see in the picture (or in fact they may be identical). In fact their "catalogue number was identical 551(A), just to make things more confusing.
Caboose can't be seen too well in the photo's. It appears to be a NYC type 556, 6" 4-wheel caboose, which was made through out the entire period. There are differences that can be used in dating, they include the style of the lettering and the absence, inclusion, and placement of the Marx logo.
Loco : My references do not give an exact match to the loco you pictured. The closest I can get is the 3000 type produced in 1940 which matches your loco in every way except it is listed as a 2-4-2 vice an 0-4-0. Now the type 3000 came in many, many variations and with the war closing in who knows, Marx may just have left the pilot and trailing trucks off, he really didn't like them much anyway (claimed they were always coming off the track).
Well I leave the rest to other Marx fans...OH lest we forget, if this set was manufactured for export or even manufactured in the UK and exported to Australia, then all bets are off. My references are just US manufacture for the most part.
Post a transformer number, I might be able to do better dating from that.