The Santa Fe Railway never actually made it to Santa Fe.

Originally formed in 1860, the Atchison, Topeka, and Santa Fe Railway (often abbreviated as "ATSF" or just "Santa Fe") was one of our nation's largest and most prosperous railroads. Oddly enough, none of the three destinations for which it was named were ever incorporated into the company's transcontinental route; it took them 12 years to even build a branch line to Atchison!

Though they really did intend to incorporate all three cities into the system eventually, the company's name was mostly intended to convey a sense of expansiveness throughout the mid-to-southwestern portion of the United States. In 1880, the rail finally reached Alberquerque, but they decided to avoid pressing onward to Santa Fe because it would have been too expensive due to its treacherous terrain. Instead, any shipping to the state's capital was done on an 18-mile branch line originating in Lamy, NM. The railway officially ceased its operations in 1996 when it merged with the Burlington Northern Railway to form the Burlington Northern and Santa Fe Railway (BNSF).
(Sources: 1, 2)