G Scale Polar Express Set Help Wanted

Is there an "on" button on the loco/tender? 

Never mind. Missed the part in your post about the grey on button on the engine...

Batteries in engine installed correctly?

I would check to make sure battery clips ok. Wires attached etc.

If nothing, i would take the shell off and try jumping the switch wires. May be a bad switch...

Thank you.  Will do.

The most common problem I've seen with these is with the power jack on the loco. The clip in the jack that presses against the outside of the plug from the tender gets slightly bent from young hands pulling to cord on an angle to unplug it. So it no longer makes contact with the plug barrel, and no power to the loco. I've had some, but nowhere near 100%, success using a 'dental pick' to reach in and bend it back. The kind with a double 45deg bend on the end works best if it works at all.