Read Prima's complete Castlevania: Lords of Shadow 2 walkthrough.
Open the gate ahead, then head back through the gate on the other side to find a patch of darkness to the left, just beyond. Change into a rat and head back through the other gate and down the middle of the ramp to the left. Enter the vent and head left to find a patch of darkness to transform back into Dracula and initiate a cut-scene followed by a quick battle against Satan's Soldier.
Defeat the Soldier for another quick cut-scene, then access the window to the right and quickly to the right, along the outside of the train. Climb back up to the top of the train to get another quick cut-scene, followed by what appears to be another fight against Satan's Soldier. However, do not engage Satan's Soldier. Instead, run past him and use a Bat Swarm to distract the guard at the end. This causes another cut-scene and leaves Dracula hanging along the outside of the train again.
Quickly make your way to the ladder on the right, and climb up to the top of the train, then jump over to the car ahead. You must make it to the top of the next car before it reaches the tunnel just ahead, so do not delay. After another quick cut-scene, quickly access the ladder on the left to move back down to the side of the train before Dracula gets wiped out by the structure ahead.
At this point you must get inside the train before a side structure approaches. There are four overhead structures before the first side structure, so you have plenty of time to climb down the ladder and move toward the back of the train until you can climb inside.
Once inside, wait until the guard approaches, then starts to walk in the other direction. Sneak up behind him and use Vampiric Possession to take control of his body and open the door at the end. It's once again time to have a little spat with Satan's Soldier. Engage it in combat for a very short time, then run toward the train car as soon as the guard appears.
Climb along the outside of the train, moving toward the front of the car. When you reach the ladder, climb to the top. At this point you must move left or right to avoid the overhead lights that pass. In every set of lights there's a dark spot which represents a gap. Line up Dracula with the dark spot to avoid taking any damage.
After a short cut-scene, run up and try to attack Satan's Soldier. Follow the on-screen quick time event to defeat the soldier and witness another cut-scene. Head down the platform and follow Zobek's Lieutenant up the side of the wall into the opening above. Jump down to the area below and access the lever to turn on the power and open the door to the right.
Head through the open door, then drop down into the room below and clear the monsters. Access the switch in the corner to turn off the electricity and have the Lieutenant hold the switch for Dracula. Head through the doorway and access the glowing yellow cable on the wall ahead. Follow the quick time event to break the cables so the Lieutenant can join you. If you have an extra Dungeon Key, head to the left, then around the corner to the right. Drop down to find an alcove to the immediate right where you can insert a Dungeon Key.
Go back to where the wires were and head in the opposite direction and drop down to engage the monster below. When you defeat the big monster, it explodes with a shock wave, so stand clear when it begins to show signs of blowing up.
Climb up the side of the room where the bats are swarming and ask the Lieutenant to grab your hand to make it up the wall and open the gate. Head through the open gate and to the right, then climb up the column in the middle of the room to reach the steel girders above. Make your way around to the Pile of Sacrifice in the corner to obtain another Kleidos, then climb back up the wall ladder make your way around to the left, then up and over to the corner where a Pain Box awaits. Open it to obtain another Chaos Gem, then head back to the edge, near the girder, and jump down to the Pain Box below to obtain a second Chaos Gem.