I swear trains were not easy to setup.

The First Bit.
When placing the underground connection, don't spam it, When you place 1, the other will be a ghost entity. So save the second 1 for the ghost.
So you place a tunnel underground, go to the surface a ghost will appear for the second item in your inventory (uslly flipped for train tunnel). Do Not SPAM the item onto the ground, it won't show the ghost.

The Second Bit.
How to route stations and connect the surface to the underground automatically.

You click your station... lets say Furance Output 1.

You click the sub station. this creates a weird up down icon in the schedule.

You then click the underground station lets say Iron Output 1.

You then click the sub station again.

So your train, leaves Furance Output 1. Goes to Underground Transition. Goes to your Iron Output 1. Goes back to the Underground Transition.
(Repeats)

This should help explain what is going on better.