This response is based on oral history, and on the basis of a single testimony of Stephan Skotnicki. It's also based on the testimony of his mother, so I must place a reserve on the factuallity of the related events. In regard of the subreddit rules this is bordering on the side of the anecdotal, were it not for some bits of the story that can be verified.

I'm sharing it nevertheless, because it's very relevant to the question posted, and might shed some light on the difficulty attached to the question. It seems like it was easy just to jump of the train, and the incredulous story of Stephan shows that it did work, at least once, but it also shows that it was in no way easy.

Skotnicky survived the holocaust as a young boy, because a family friend, who was a Catholic, pretended to be his mother. They found refugee in a rural town in Poland where they lived out the war.

Both his mother and father got rounded up by the Germans, though. His father was moved to Mouthausen and Auswich, but he survived. His mother, however is why I chose to put together this answer.

His mother jumped of the train on the way to the concentration camp. This was not a popular move as her fellow inmates feared that they might be punished if one of them were missing. Never the less she managed to convince one of them to help her up to the small ventilation shaft, through which she managed to get out.

This wasn't as easy as it seems. The Germans had fitted barbed wire to the shaft, in order to discourage this method of egress. Her arms were partially degloved by the barbed wire and Stephan tells that she always wore gloves, later in life, to cover the scars.

Now there's a young woman, bleeding and cold, bruised from the fall, in the middle of Poland, where it was very difficult to hide. She somehow managed to make her way across to the village where her son and his Catholic 'mother' where hiding, without arousing suspicion.

This is, unfortunately, the bit of the story that is hard to fact check. It is obvious that Stephans mom was arrested and put on transport. Also she survived the war, and it's likely that she did manage to escape. The point is that even if you managed to jump of the train that it wasn't really clear what to do next.

You must be sure that the people you turn to for help and shelter aren't going to report you to the authorities. Basically you had the same trouble as before, as a Jew in Poland, but you were also quite clearly an escapee.

I have not been able to find out if the people aboard the wagon she escaped out of were actually punished. Maybe someone with a deeper knowledge of the holocaust, like /u/commiespaceinvader , can comment on if that was common practice. In any case the passengers thought that they would, and that was a form of deterrent. Also the presence of the barbed wire means that the possibility of escape in that manner was considered by the Germans.

That Stephan's mother managed to survive and reach shelter is nothing short of a miracle. It shows that whilst it was possible to jump of a train, that it wasn't as easy as you'd think to get away with it.

I have not much in sourcing, but Stephan told his story on 'Radboud Refects' in Dutch, as part of the Radbout university lectures. I'm not sure if this holds up to this subs scrutiny but it's generally hard to assess the credibility of oral history. I'd appreciate feedback of the mods in this case.

Yes! /u/Estherke has written about an attack on a train going from Belgium to Auschwtiz.

EDIT: Esther's also written a response to How did it become common knowledge that Nazi German was killing its Jewish population? and Why didn't the Jews attempt to rebel against their Nazi captors?

/u/commiespaceinvader has answered (with /u/gingeryid) Are there examples of riots in Nazi concentration camps during the Holocaust? Were any of them successful? and Question! Why was there no revolution during the Holocaust?