My little brother is talking about a movie where there's a teenage girl and her parents die and she's captured by bad guy agents they take her to something that flies and she jumps out with a parachute and she hides in a house and there's a boy that finds her there and then they run down train tracks and a train stops for them and let's them on and they put more coal in to make the train go faster to get away from the bad guy

Castle in the Sky (1986) - IMDb Some of your details are not quite right but I have no doubt it is what you are talking about it is a studio gibli anime that I love and now watch often with my own children. It is great. It is based on a book.