I will tell you what I did, but it was alot of work. I called each major car rental company....... Some will come pick you up, at the train station, FREE. They bring you back to their office, you do the paperwork, and go on to WDW. Some require you to arrive by a certain time to do this, however, so ask. (trains can run late, of course, so this had me nervous) Other companies would tell you to take a cab, and they reinburse you. (I worried about THAT too, as there are 6 of us to transport in a cab). It is tricky, because at the 800 number, they sometimes don't know the complete details of what the local office does for this situation. So, I had to get the local office phone numbers from the 800 # folks, or from the website, and called those local offices. We ended up with a minivan from
Budget, I think. They had us call when we arrived, they came and picked us ALL (2 adults, 4 kids!) up, with our stuff! We went to a local office, did paperwork, and we were on our way. For the return, we did the same thing, we drove to rental office, and they brought us back to the train station.
This was 5/6 years ago, and things could have changed. In our case, we wanted that rental car to use during the vacation. Good luck!