Lyric discussion by mos6502 

Cover art for Last Of The Steam-Powered Trains lyrics by Kinks, The

You can take this song literally word for word - that it is a song from the point of the last of the steam engine... but I like to think of it in a more general sense: the passing of an era.
The steam era has ended, but it still has its admirers - despite all the smoke, soot, scum etc. It's a song about how people can be nostalgic for something even as dirty as steam locomotives.