(you'll need the tab or a good ear to get the finger picking for this song.  This is a 
just a cheat sheet for when you know the changes...)

Intro: G–Gb–A  G–D7

       G                    G7   G7                           G7
And I followed her to the station, with a suitcase in my hand
       C                         C                            G7–D7
And I followed–her–to–the–station, with a suitcase in my hand
G            A7                            D7                         G
  Well it's hard to tell, it's hard to tell, when all your love's in vain
                      –D7
All my love's in vain

           G                     G7    G7                       G7
When the train rolled up to the station, I looked her in the eye
           C                           C                        G7–D7
When the train–rolled–up–to–the–station, I looked her in the eye
G              A7                         D7                           G
  Well, I was lonesome, I felt so lonesome, and I could not help but cry
                      –D7
All my love's in vain

           G                 G7   G7                         G7
When the train it left the station, with two lights on behind
           C                      C                           G7–D7
When the train–it–left–the–station, with two lights on behind
G           A7                    D7                           G
  Well the blue light was my blues, and the red light was my mind
                      –D7
All my love's in vain

        G      G7         G7    G7
Ohh ho oh oh oh,  Willie Mae
       C             C              G7–D7
Ohh oh oh oh oh,  hey,  ho, Willie Mae
G       A7           D7              G
  Ohh oh, oh oh oh oh, hee vee oh woe
                      –D7
All my love's in vain