The German occupation of Sudetenland in the north of what was then Czechoslovakia had driven thousands of refugees south.
The threat to the Jewish population was acute, yet no plan existed to rescue the children.
Winton: 'The greatest thing I have done'
Thinking back to those early days, Sir Nicholas said: "The task was enormous but I had to do something. The so called Kindertransports - initiatives to bring children west - had been organised elsewhere, but not in Prague."
While those he rescued identify him as their saviour, Sir Nicholas has always emphasised the efforts of the team who worked tirelessly to identify those most at risk and to find homes in the UK willing to take them.
Money had to be found, entry documents approved, yet the trains ran through most of 1939, bringing 660 children to safety.
Seventy years later, crossing Germany on the commemorative train, Hanna Sloam, born Hanna Beer, found the child she had travelled with - Lisa Midwinter.
"I have never found anyone who was with me on that train," Hanna said.
"I can't quite believe it. Looking after Lisa took my mind off the fact that I'd had to say goodbye."
And Lisa, who was three at the time, still remembers the songs they sang and the tears shed by the families they left behind.
If Nicky hadn't done what he did, I would not be here today
As the train steamed along the Rhine Valley, the river sparkling in the sunshine, Slovak documentary maker Matej Minac told his story.
He assembled 22 of the former Winton children in one of the pre-war carriages for a scene in his new version of the story.
"It has all the qualities of a Hollywood drama," he said between takes. "But this really happened - Nicholas is a truly remarkable man."
The man himself says he has never understood all the fuss, it was his late wife who persuaded him that others should know what he had done.
Those sentiments were echoed by all those who travelled on the train this week.
Tom Graumann lost every member of his immediate family to the concentration camps.
During a visit to the former Gestapo cells beneath the streets of Cologne - now a memorial to those who scratched their names in the dusty plaster and left much as they were during the war - he said: "This really brings it home.
"If Nicky hadn't done what he did, I would not be here today."
Back in Prague, Alan and Eve Leadbeater, who had travelled from Nottingham to join the train, also shared their story.
Eve was eight when she waved goodbye to her parents and older brother, she didn't hear that they had died until the end of the war.
She said she knew this would be an emotional experience: "But I wanted to come to pay tribute to my family, and to thank Nicky Winton."
Later on Friday, Sir Nicholas, who turned 100 this year, will once again stand on the platform at Liverpool Street to welcome those he considers as his adopted family.
Then the Winton children will go their separate ways, but seven decades after the farewells in Prague, they have reaffirmed the ties that still bind them to the man who gave them a future.
The Winton train journey
Choose a view:
Germany annexes Austria in March and takes over the Sudetenland in October, following the Munich Agreement.
Czechoslovakia is invaded - Bohemia and Moravia become a German protectorate, Slovakia becomes a client state.
This page is best viewed in an up-to-date web browser with style sheets (CSS) enabled. While you will be able to view the content of this page in your current browser, you will not be able to get the full visual experience. Please consider upgrading your browser software or enabling style sheets (CSS) if you are able to do so.