The train was travelling close to Whitwood junction on Friday, January 30 at around 4.15pm when its windscreen was smashed.
A British Transport Police spokesman said they were investigating what object had caused the damage to the windscreen.
He said: “We are investigating after the windscreen of a freight train was damaged close to Castleford station at approximately 4.15pm on Friday, 30 January.
“The incident occurred while the train was in motion. Officers are pursuing several lines of enquiry.
“At first officers thought it may have been a brick or it could have been a stone.
“But they have not found any information to suggest what caused the windscreen damage and all lines of enquiry remain open at this stage.”
The spokesman said no-one was injured in the incident, including the train driver.
He added: “Anyone with information is asked to contact British Transport Police on 0800 40 50 40, or text 61016, quoting reference 347 of 30/01/2015.”
Alternatively, call Crimestoppers, anonymously, on 0800 555111.