Would not say connect or join, depends on circumstances, you could say connect but in describing the simple operation would say hook one train to the other, more technical couple one tranin to the other train engine.

quote Coupling and uncoupling locomotives and railroad cars
Side view of couplersThe purpose of the couplers is to join the locomotive to the car behind it, and to join each of the cars in the train to each other. Major Eli Janney, a Confederate veteran of the Civil War, invented the knuckle coupler in 1868. This semi-automatic device locks upon the cars closing together without the rail worker getting between the cars. This replaces the "link and pin" coupler, which was a major cause of injuries to railroad workers. A "cut" lever at the corner of the car releases the coupler knuckle making uncoupling safer.