This article discusses the impact of rail market liberalization on the energy intensity of rail in relation to the export of goods, as well as the identification of multidimensional cause-and-effect relationships between rail energy intensity and the importing country’s economic condition, transport performance, and transport distance. Three research questions were formulated: (1) Does the liberalization of the EU transport market and the implementation of a sustainable transport policy contribute to minimizing the energy consumption of rail transport? (2) Does the pursuit of economic growth allow for reducing the energy intensity of goods exported by rail transport in global trade? (3) Is there a justified paradigm for shifting long-distance freight transport from roads to rail? This study concerned 21 directions of the export of goods transported by rail from Poland to partner countries (worldwide) in 2010–2020. A panel model of rail transport energy consumption with random effects was constructed. As a result of rail market liberalization, the export of goods transported by rail across great distances occurs without harming economic development and leads to a reduction in energy intensity. On this basis, key strategies were formulated to promote rail transport in reducing the energy intensity of the transport sector. The authors filled the research gap by identifying the relationship between the energy intensity of exports of goods by rail transport in value terms, depending on the European transport market’s liberalization process, the importing countries’ economic situation, transport volume, and distance. The presented approach is innovative and can be adapted to the analysis of other modes of transport, including road transport, and other countries (and their structure and export directions).