Because it has been vindicated at all scales except quantum. The train thought experiment just helps explain it to people who can’t get down with the math.
Yes it has been proven in reality.... but I'd like to understand how Einstein knew that that was the case.
Executive summary: He knew because Maxwell's equations told him so.
What I've heard is that for the forty-odd years before Einstein's "miracle year", physicists had been trying to wrap their collective minds around the mathematical difficulty of reconciling Maxwell's equations for electromagnetism with Newton's equations for motion. The general approach was to subconsciously assume Newton was a divine oracle, infer that Maxwell's equations were only an approximation, and therefore look for subtle differences between measurements and Maxwell's predictions, in order for physicists to get a handle on what modifications to Maxwell's equations would be needed to account for the discrepancies. This process culminated in the famous Michelson-Morley interferometry experiments, which should have been sensitive enough to detect the failure of Maxwell's equations to take into account the motion of the earth around the sun. But to the limit of accuracy Michelson and Morley could measure, Maxwell's predictions turned out to be spot on. This led to a flurry of activity by a lot of physicists, some trying to come up with even cleverer modifications to Maxwell, others trying to come up with clever modifications to Newton. Among those pursuing the latter approach, Einstein succeeded first. If Einstein had never lived, Poincare would allegedly have discovered special relativity within another year or two.