For The First Headlight, They Just Set A Car On Fire
The earliest light bulb was invented around the same time as the first steam locomotive. But that "light bulb" was really just a wire glowing very faintly while scientists hooked it up to several zillion volts. If you wanted a light bulb that actually worked well, you had to wait many decades more. So for much of the 19th century, you had trains without electric lights.
That raised an obvious question: What do we do with trains at night? Which prompted an obvious answer: Nothing. Leave them stationary. We don't run factories at night, so there was no need to run trains at night either. The night is a good time for sleeping, not driving trains.
As the years ticked by, however, the demand for transport grew, and it gradually made more and more sense to schedule night trains. The problem was that if a bunch of deer were chilling on the tracks, or some villain had tied up a maiden and left her there, the driver wouldn't be able to see, and catastrophe would ensue. They needed some way to illuminate the path ahead of them, and in 1832, railroad pioneer Horatio Allen had the answer.
He hitched two cars in front of the locomotive that normally led the train. These were flatcars—no seats, and no walls. On the first car, he laid down a bed of sand then piled a bunch of wood on top and set it on fire. On the second car, behind it, he set up sheets of iron so they'd reflect the fire's light forward. As the train moved ahead, the huge fire would light the way and warn track loiterers to flee.
This first train headlight suited Allen's purpose fine (to create a giant train fire, because he thought this would be fun). But other people looked at it and said, "Uh, Allen, we know it's the 19th century and all, but we've already figured out how to direct light without uncontrolled open flames." And so, when night trains became more common in the years right after this, people built headlights using a much more practical method. They hung lanterns.
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Top image: Cecil J. Allen