The sequel went through many titles. It was originally called "The Mask Of Zorro 2" and then that title was changed to "Zorro Unmasked" which had been the original script title by Ted Elliot and Terry Rossio. After their script was not used the title went to "Zorro 2" then to "The Return Of Zorro" before Sony pictures finally settled on the title "Legend Of Zorro".
The locomotive used on the train at the end of the film was not actually capable of moving under its own power. The illusion of it pulling the train was created by alternately using an out-of-vision diesel locomotive to pull or push, a blue screen set up next to the steam locomotive with passing scenery added later, or an about 1/8 scale operable model of the train.
A 2nd sequel was dropped, due to "Legend of Zorro" not making enough money. However, Robert Rodriguez approached Sony with an idea that the Zorro reboot should be set in a post-apocalyptic future. But, Sony executives wanted the Zorro reboot to be gritty and be in the style of Christopher Nolan's "The Dark Knight", showing how Don Diego de la Vega became Zorro. Batman was heavily influenced by Zorro and the reboot is to be titled "Zorro Reborn" and the film is rumored for a 2016 release.