Check light and shadows on all sources and make sure the light is all coming from the left and the shadows are on the right.

Make a vertical scene from the snow and sky using layer masks to blend the new sky over the horizon. Make sure the horizon is in the same place as the train horizon to get the perspective right. Add a very slight vignette around the edges of the landscape by roughly selecting an area around the edge, feathering it by 100 Pixels, copy and pasting it onto a new layer and blending the new layer on approx 15% multiply.
It is hardly noticeable but it does add some depth to the scene when you compare it to the layer without the vignette.

Cut out the train minus the tracks since it will be on a road not on train tracks.
The original train looked too brown and dark on the picture so I changed the color to more of a blue tone using the match color feature in photoshop. It was matched to the snow landscape.
I also added a new shadow since the old one had been cut away.

Cut the hat and arm from the beach picture and add to the scene. The colors were also matched using the color match feature.
Then I made a new shadow for the hat and arm by selecting the source shadow, filling it with the same color as the snow shadows and slightly blurring it.
The new shadows were blended at 50% multiply mode.
I also darkened the train slightly by duplicating the train layer and blending at 30% multiply.