Nope. They stuck the kids on the bridge with the train and made them run and jump off. Child actors didn't have many rights back in 1986. Corey Feldmans were a dime a dozen.

They had female stunt persons with short hair for that scene.

There's one part in that scene where it looks really fake. Was green screen technology in it's early development stage at the time of filming?
In the Dvd commentary , Im pretty sure they said that the train scene incorporated a long telephoto lens shot to make the train appear much closer to the kids that in really was. I'm sure the studio effects were used in the final production. Making kids run on a bridge that high would have been risky .