Strong wind–sand flow exerts great potential safety hazards for high-speed train operations. In this paper, we investigate the aerodynamic characteristics of high-speed trains passing through the bridge–road transition section under a wind-blown sand environment. In particular, we adopt the sliding grid method to simulate the changes in aerodynamic pressure on the train surface when the train passes the bridge transition at different speeds and bridge heights. The variation in the aerodynamic lateral force borne by the vehicle body at various times is then obtained. The results reveal that in the wind–sand environment, when a train drives from the bridge to the embankment, the pressure values on both the windward and leeward sides of the train change abruptly, with the most obvious increase in the lateral force of the head car. Moreover, the abrupt change in pressure increases with the speed of the lateral wind–sand flow. The differential pressure force of the train on the embankment is larger where the differential pressure force on both sides of the head train is the largest. When the train is running in the opposite direction, the differential pressure force on both sides of the train decreases. Compared with the lateral wind condition, the lateral force at different positions of the train under the wind–sand condition exceeds that under the non-sand condition. The average increases in the train body are approximately 17.6% (10 m/s), 10.5% (20 m/s) and 9.5% (30 m/s), which will cause passengers to experience an obvious “shaking” phenomenon.