The show regularly deals with mature themes including: divorce, grief, trauma, abuse, peer pressure, bullying, control, betrayal, abandonment, identity and death.
A disturbing robotic monster is seen attacking the main characters several times throughout the series as well as frightening undead roach-like monsters that can devourer a person's soul.
Book Two doesn't have much emotional situations, but still has scenes of threat and horror. Some initial episodes have only mildly scary bits (like a deer that constantly shapeshifts in bizarre ways) while later episodes are more intense. Bullying, peer pressure, and social acceptability are reoccurring themes in this season, but unlike in Book One, they aren't the focus.
In book 3, two main characters are killed off. One in episode 5 and the other in episode 10. Their deaths, while brief, are somewhat graphic and very distressing.
The series has a lot of suspense, mystery and mild horror. The train essentially kidnaps people and thrusts them into dangerous and unpredictable worlds with life or death situations that they can't easily escape from.
The main characters (who range from young children to older teens) are frequently in danger and not everyone makes it out alive.
The intensity, subject matter and maturity increases with each season.
There are some scary sequences, which become more intense as the show progresses.