Indiana Jones and the Last Crusade (1988) was one of a number of movies filmed on the narrow gauge Cumbres & Toltec Scenic. You can find more information about the movie itself in its entry in IMDB.

Equipment

It's clearly a K-36 and a bunch of narrow gauge cars dressed up as a "circus train", but I don't know which pieces of equipment participated yet.

The fake horn really does pierce the top of a boxcar, but no Rio Grande equipment was harmed in the making. Earl Knoob stated in an interview that the movie folks removed the real roof and replaced it with new materials (namely balsa wood) for the filming, and then replaced the historic roof once they were finished.

The caboose is not a real D&RGW caboose. It's C&TS caboose 05635, which was built by the railroad from D&RGW stock car 5635. In 2004, the car was torn down to repair advanced rot in the frame - it's current condition is unknown.

Filming Locations

(Timings from DVD edition)

5:31-6:49 - The end of the chase where young Indy (River Phoenix) is on a horse being chased by men in cars and then jumps aboard the train was filmed on the high desert outside Antonito, CO.

6:49-7:35 - Pacing alongside the train north of Chama - this is the part showing the outside of the "reptile car" while Indy screams from falling in the snakes. Past 6:51, as young Indy is being chased along the top of the train, the shots are a mix of pacing north of Chama, onboard from around Lobato, and an area with large blackish rock outcroppings that appears to be near Toltec (unsure).

7:36-8:09 - Starting with the rhino's horn nearly nailing the bad guy in a rather uncomfortable spot, this looks to be the approach to Lobato, NM again. Shortly afterwards (7:51), Indy grabs the fake water standpipe at "Weed City" (Lobato) and swings around. Contrary to popular belief, this setup was not built for Indiana Jones, but the much earlier 1970 film Shoot Out. The Indiana Jones crew just reused it.

8:09-8:47 - Filmed inside the "lion car" - no idea if this is even a real narrow gauge boxcar, but it looks too big and the inside looks like no car I've ever seen. My guess is that it's a movie stage.

8:47-9:16 - After young Indy is hoisted out of the car with the lion, the footage is shot moving north through the Narrows, north of Chama, NM. The distinctive rock outcropping to the west at 8:59 gives it away.

9:16-9:48 - The scene in the "magic caboose", followed by young Indy running back down the track, is again just outside Antonito, CO, looking east.

9:48-9:58 - While we don't get much of the background, the scene looking at the bad guy on the back of the caboose, expressing his frustration that young Indy escaped, appears to be taken near Dalton going north.

9:58-10:08 - The final scene filmed in narrow gauge country is where young Indy is running through town to his house. This part was filmed in Antonito, CO. The grade crossing he runs across is where Antonito's 5th Avenue crosses the standard gauge Antonito Branch, and the camera is looking south. The old stone depot can be seen briefly in the background as Indy crosses Front Street.