This article concerns the identification of connections between the energy intensity of rail transport and spatial integration (convergence processes in the EU and spatial proximity) and the economic situation of countries that are in international export−import trade relations. Three research questions are formulated in the article: (1) Does the improvement of the economic situation of the importing country reduce the energy intensity of the Polish export of goods by rail transport to the partner country? (2) Does EU integration contribute to reducing the energy intensity of the export of goods by rail transport? (3) Is there a positive spatial effect (convergence) of reducing the energy intensity of the export of goods by rail transport? This study concerned 14 geographical destinations (export destinations from Poland) during the years 2010−2020. A comprehensive study of convergence was used by building a spatial (club) and type β convergence model and using an unconventional method (panel stationarity analysis). It has been verified that there is a convergence in the energy intensity of goods exportation by rail transport in EU countries. The rate of spatial (club) convergence is 8.66% per year, while the period after which this convergence will be halfway between the initial state and the long-term equilibrium point is 8 years.