I might be mixing up several books, I hope I'm not, it's been 20 years since I read the books.
I want to say it was a series of books. Each book could have been written by a different writer.
From memory it starts off in the late 1800's/early 1900's a man has gone to Africa to search for his lost brother. Weird/implausible stuff starts happening as they travel up a river, I want to say the Congo, and eventually they enter another realm. As they chase after clues to his brother they traverse a reality roughly each book.
At some point I want to say there is train imagery used as well as an iceberg with reference to Mary Shelly's monster(I could be mixing this up with another book)