The Copper Canyon train runs every day of the year. Yes even on Christmas, Guadalupe Day, Cinco de Mayo–every day CHEPE rolls out of Chihuahua City and Los Mochis at 6am and makes it way through the splendor of Copper Canyon.
Some people insist that the only time to travel the train through Copper Canyon is in the fall–and indeed that is a nice time. But the again, there are more travelers then, it can rain, and for some that schedule does not fit travel time.
Spring is a nice time because the weather is more stabile and the numbers on the CHEPE train are lower.
I also like summer –like after July 4th or so–because the rains begin and the place is fresh with lots of waterfalls. It is also the season when Mexicans travel and they are such fun to be around on the train and in the small villages and lodges.