http://www.thefirstpost.co.uk/40640,news-comment,news-politics,meps-who-ride-the-brussels-gravy-train
You might expect them to travel by train but how does this collocate with gravy?
Gravy is a liquid made from meat juices that you pour over meat to make it extra yummy!
The gravy train is not one made of gravy but a metaphor for the high life. It causes a lot of anger in Britain when people find out their tax money is being used to support a luxury lifestyle.
By the way, don't confuse gravy train with gravy boat - that's one of these and is used to pour out the gravy.

Finally, why not find out how to make gravy. No train needed.