Thompson, 49, was struck while jogging along the train tracks in Haltom City, Texas, according to the Dallas News.
Witnesses and the train's crew told press the incident occurred at approximately 3:45 p.m.
Wireless earbuds were found at the scene of the tragic accident, though it's not yet clear whether they belonged to the radio staple.
Thompson's "Daily Mojo" co-hosts Ron Phillips and Brad Staggs mourned him on-air Wednesday morning.
Thompson previously hosted a show on Glenn Beck's pay television network The Blaze.