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A noble train is formed by 4 or 5 consecutive attacks, each with 1 noble and some troops (called "noble escort"), so the noble does not die. The noble train will lower the opponent's loyalty just below 0 (it usually happens with 4-noble trains, it always happens with 5-noble trains), so you can conquer that village.Nukes are used before it, unless taking a barbarian village.

It should be mentioned that in a 5 noble train, if the 4th noble captures the village, there's a good chance you'll lose that noble, as the 5th noble will still attempt to capture the village, with a roughly 66% chance of success. If he captures it again, the village will still become yours, but you lose an extra noble in the process (nobles 1-3 bring down loyalty and come back home, noble 4 captures village, noble 5 kills noble 4 and captures the village again).