My Private Nation Lyrics
Climbin' up on thirty
Dress like a kid to make me feel young punk
And talk junk
You musta fell out of your bunk
And smacked your head
Or your face or somethin'
Take the bus
Go on and get yourself your own dream
Where I wanna be in my private nation
I'm alone all thinkin' life's a phone call
Here for just a while when in my private nation
You can ride or you can go
When you don't know whose been in 'em
Have you ever been more than a bump
On a rock that likes to roll
In the middle of a soup bowl in the sky
Use your eyes
It's all you got till you die
Take the bus
Go on and get yourself your own dream
Leave a light on, so you can see
How to get back when you go
How to make ends meet
How to lose, how to win
How to stay on the seat
How to use momentum to keep the two wheels straight
How to wait after it feels like you waited so long

I personally took this song to be about someone accepting a hard life and deciding it's where he wants to be ("This is my own life, keeping me down where I wanna be"), or that it's a necessary hardship in order to reach his dreams. Like a rockstar or an artist living off of practically nothing in hopes of one day hitting it big; that kind of mindset.
It's maybe a little sour grapes in places (the laughably awkward retort of "musta [...] smacked your head, or your face or somethin'" seems to suggest a self-awareness of this) - but at the same time, it also seems like a sincerely defiant response to the people who show pity or look down on him ("Why you gonna step on shoes when you don't know who's been in 'em") as if he's someone who's been trying too long and won't make it, or someone who's too old or too late to make it ("why you gotta treat me like I'm [...] climbin' up on thirty, dressed like a kid to make me feel young punk")
He's alone in his struggle for whatever this dream is ("I'm alone all thinkin' life's a phone call" is something I've always personally interpreted as having only long-distance friends and relationships, but it could easily also be a disconnect from life in general), but with the same bitterly defiant attitude he defines his loneliness triumphantly as "My Private Nation."
The song also seems partially to be advice -- he's singing to someone who wants what he's trying for, just as much as he's singing to the people who dismiss his dreams. He lists the things he's had to learn ("How to get, how to give", etc.) but he thinks anyone who wants to get where he's going should go through that same struggle too, rather than just following blindly in his footsteps or trying to mooch off of all he's learned ("I don't need nobody flying in my jet stream, take the bus go on and get yourself your own dream").
However, he does have one piece of advice. The fact that he continuously says to "leave a light on so you can see how to get back" seems like a lingering doubt that he can make it, or that he doesn't believe he can guarantee that you'll make it, insisting that you need something to fall back on so you aren't utterly lost when your dreams fall through.
I don't know for a fact what Train's actual intentions were here, but this song has always resonated powerfully with me, and this is why... so I wanted to share my feelings.

Hes talking about how he just wants to live life to the fullest without any setbacks, and how he just wants to leave the world behind for a while.

I think it's about coming out of a relationship and realizing they don't need to depend on people. He's saying if people don't accept him then they can just leave him alone. ... but that's just me

I've been listening to this for years, and I think it's a parent tossing a kid out and trying to teach them hard love. The main message here seems to be that there's no free lunch, and that you have work and fight until you make it.

To me, the "private nation" is a self assurance learned over time in the midst of a crazy, sordid world.