Zhou Yu (Gong Li) is a porcelain painter who works in a small Chinese town named Sanming. When Chen Ching (Tony Leung Ka Fai), a teacher and poet, sees her dance, he is entranced by her beauty and grace. He writes a tribute to her in a poem before returning to his home in distant Chongyang. After the poem is published in a newspaper, Zhou Yu comes to visit him on a train, and they make love. But he is confused as to whether she is interested in him or just entranced with his poem.

While on the train to see him again, Zhou Yu meets Dr. Zhang Jiang (Sun Hong Lei), a veterinarian. He finds her to be unlike any other woman he has met before, and is unhappy to learn that she has a lover. They begin a friendship and later Zhou Yu takes their relationship to another level by initiating sex. But Zhang knows that he will never be able to compete with the poet who has won her heart with his words.

Sun Zhou directs this enigmatic Chinese film that seems very Western with its treatment of the Zhou Yu's yearning for the ultimate romantic experience. Near the end, one of the characters says that "a lover is a mirror, in which you can see yourself more clearly." The drama is deepened when Gong Li appears as Xiu, an older woman who knew Chen and is intrigued by his strange relationship with Zhou Yu. This is the kind of the film that ends on a note of ambiguity, leaving the viewer to play out the final meaning according to his or her emotional reception of the story. The main reason to see Zhou Yu's Train is to watch the incomparable Gong Li charming two men with her mysteriousness and her beauty.