The entire image can be done with just the "Bevel & Emboss" filters within PS's "Layer Effects". Each element would be beveled separately, on it's own layer.

The train is just a trace outline (which can be achieved with the "Trace Contour" or "Find Edges" filters, the set to Luminosity blend mode), the plaque just a solid coloured square, the rivets just solid coloured circles, and the same goes for the text.

I see no real etching effect on that train line drawing. I think it could be stronger. As is, it look only like a stamp or print.

Just apply the B&E filter to each element within the image separately. Depending on the doc size (in pixels) you use, adjust the 'Depth' & 'Size' of the bevel, to suit your needs. Make sure you use the exact same 'light source' direction for everything -- "global light source".

PS: Make sure you don't make the same mistake that person did by adding a drop shadow to the 'sunken in' type -- The Baldwin.

Hope that helps.

"The lessons to be learned, are found along the path of your journey, not at your final destination. That is only where you will rest, between lessons"