Mohit Bharadwaz, a murder accused, was being escorted to Agra Central Jail after a hearing when he was shot dead in the train near Bad area of Mathura, police said.
Two of the three policemen, who were escorting Bharadwaz were also injured in the incident, police said, adding that their rifles were also snatched.
Meanwhile, Anup Srivastava IG Railway Protection Force, Allahabad Zone said security could not be provided on all trains because of their large number.
One of the constables was also missing after the incident, police said.
IG range Bhwash Kumar, SSP SC Bajpai and city SP RP S Yadav inspected the coach when it arrived at Agra Cantt station this evening.