They have to go through a station that has a maintenance building (or an engine shop). If the trains aren't maintained often enough they will break down.
You can build the maintenance adition to any type of a station (even depo).
You don't need them at all stations and the trains don't have to be visiting maintenance shops all the time, but it's a good idea that every possible route your trains have include at least one station with a maintenance station (or an engine shop - where you can purchase new engines).
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