When I lived in Chicago, I worked next door to the railroad retirement board. I remember them saying they did have some old records. Here's some info from their site:

"Genealogy Research

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The U.S. Railroad Retirement Board administers a Federal retirement benefit program covering the nation's railroad workers. The records it maintains deal primarily with the administration and payment of these benefits. The Board WILL PROVIDE INFORMATION from its records on deceased persons FOR the purpose of GENEALOGICAL RESEARCH. However, it will not release information on persons who are still living without the written consent of that person.
Our records are limited to individuals who worked in the rail industry after 1936. Please do not contact us with requests for records before that date. We don't have that information.

Note: They charge $27 for a search. For more details go to:

www.RRB.GOV/MEP/GENEALOGY.asp

Chuck P