Thunberg was met by a crowd of reporters but did not speak as she left the train.
The Lusitania, which runs daily, is the only direct train link between Lisbon and Madrid and takes nine hours to travel overnight between the capitals.
In just over a year, Thunberg has inspired younger protesters in a global movement demanding action to slow the atmospheric warming that climate scientists say could ultimately endanger the survival of industrial societies.
Stepping off the night train Lusitania at Chamartin train station in the Spanish capital, the 16-year-old Swede completed a hastily arranged expedition, including a 21-day catamaran voyage across the Atlantic, to a U.N. conference originally planned in Santiago, Chile.
The annual summit kicked off on Monday (December 2) with a call from U.N. chief Antonio Guterres not to be the "generation... that fiddled while the planet burned."