I watched this movie around 2009/10 and it might have been released between 2002 and 2009. I remember only a portion of it. The movie was dark, set in a western village. The protagonist was hunting alien-like creature. The thing I remember the most was that the nest in which they went to hunt was a huge volcano-like mountain. They somehow find that there are eggs in one of the trains that must be stopped before it leaves to the city, or that it was the last train that protagonist must catch in order to safely reach the city. There is a huge desert between the city and village and the train is the only way to get to the city. One of the characters that the protagonist knew turns against them and tries to stop them.
This definitely sound like the 2011 movie "Priest" with Paul Bettany...
The OP mentioned alien creatures - These could actually be "Vampires" - Visually could easily be mistaken for aliens. Some of the movie is situated outside of the city limits in a small village which could seem like an old western town & there is a large area of desert land between said location & the city. The mountain OP mentioned could be the Vampire Hive. There's also a train, although it's not carrying eggs (I don't think from memory) but vampires which are set to be unleashed on the city but "Priest" (Paul Bettany) and his comrades try and put a stop to this plan. (Don't really want to give away spoilers haha).