Indeed they did. In the UK from the 1830s on the Liverpool & Manchester Railway oil lamps were used in first and second class ( they were lowered in through apertures on the roof to provide ventilation) although there were frequent complaints about the insufficiency of light. 3rd class carriages were open, so lighting wasn't provided !

Later (from the 1840s) gas lighting with gas provided from cylinders under the carriages became common. The last gas lit carriages went out of use in the UK in about 1961.