The women, married to two brothers in Dharmpuri village in Alwar's Rajgarh town, had left their house early in the morning after a dispute with their husbands' parents and committed suicide, SHO Mandawar police station Brijesh Kumar Meena told PTI.
The women were identified as Hema, 25, and Babita, 22. Ms Hema's two-year-old son, Babita's daughter of the same age, and six-month old son also died in the incident.
They were run over by the Ahmedabad-Agra Fort train Thursday morning, he said.
The bodies have been shifted to a local hospital for post-mortem and the matter is being investigated, Mr Meena said.