That depends, the rules are different per country and sometimes even per train. On most trains it is allowed to bring along smaller pets. On some special trains (like high speed trains or night trains) it is not possible.
Passengers must supervise the animals they take with them. In most countries you can bring along small animals in cages/boxes for free. Sometimes you have to pay half of the adult fare, depending on how big your animal is.
Pets are usually not allowed to take passenger's seats. As a general rule, passengers may take dogs without their being in a box on condition that they are on a lead and are muzzled. Special provisions may be applicable to guide dogs for the blind.
Detailed information about pet transportation can often be found at the websites of the national railway companies. Examples: Belgium / Germany.
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