It should be departed (from) the train station, meaning the „from“ is optional , or started from the train station (you have to use the „from“ here). You might say „set off“ from the train station. It’s much less common and sounds like something that would appear more in the written than spoken language. It has a literary sound to it. Went off won’t work. At all.

Departed

You could also say "the train has left the station" for a more casual context.

The train left the station. The train departed the station.

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