Officers were called to the railway bridge over Butterthwaite Lane near Ecclesfield, last night following the attack on the passenger service between Sheffield and Leeds.
It is understood that the driver and passengers escaped injury in the attack, which took place at around 6.30pm.
Passenger Doug Newton said: "I'm not sure what happened but the windscreen was certainly smashed. The train was attacked at Chapeltown.
"It limped on to Barnsley where it was coupled to my train."
A British Transport Police spokesman said officers were called at 6.32pm yesterday after a report of an object being thrown at a train.
“Officers attended and are making enquiries as part of an investigation into this incident. No arrests have been made," a statement said.
The statement added: “Were you in the area at the time? Did you see anything?
"Call 0800 40 50 40 or text 61016 if you have any information which could help the investigation.”