My puppy is frightened by trains

As the title says.

My 12-week old puppy is still young and is still being socialised. He is fully vaccinated (from the UK) and he is absolutely fine on his walks, in cars, and hearing traffic.

However when I drop my husband off at the station, I have started to take our pup with us. These past 2 days I have taken the pup out of the car and walked him to the station entrance. We haven’t been on the platform, but even by staying outside the station you can hear the trains go past. Every time a train goes past he gets spooked - his tail goes between his legs, he shakes, whimpers, and he pulls on the lead to get away. Clear signs he is frightened and Im concerned this may be traumatising for him and may be doing more harm than good by exposing him. But he needs to be exposed to trains so he can get used to them, because we will sometimes need to travel by train later. How do I approach this issue?