Her Majesty, 92, caught the 10:42am Great Northern service from King’s Cross station and arrived at platform two in King’s Lynn on time, at 12.31pm.
Sandringham, her private Norfolk estate, is a 30-minute drive from the rail station.
Wrapped up in a brown button-up coat, a printed dress and a head scarf, she alighted the carriage without her husband the Duke of Edinburgh.
Prince Philip, 97, retired from public duties last year and is likely to have been driven from Windsor, where he spends the majority of his time.
Passenger Phil Kay, 62, who boarded the train at Downham Market, said he did not know the Queen was on board until he arrived at King’s Lynn and saw police and photographers on the platform.
“I didn’t see her, well, not that we went up that end of the train but it’s marvellous isn’t it?” he said. “I think it’s great that she does [travel by train].
“It just makes her more acceptable to the people doing things like that.”
Yesterday the Queen hosted her annual Christmas lunch at Buckingham Palace for extended members of her family.
Her Majesty will be joined by her immediate family at Sandringham for part of the festive period and they will attend their traditional Christmas Day church service.
The Cambridges, Sussexes and Prince Charles and Duchess of Cornwall will be among those walking the short distance from Sandringham House to St Mary Magdalene Church on December 25.