Phoenix WAS served by the sunset limited Amtrak route. However, a few decades ago the tracks were deteriorating to a point where they had to be removed. The cost to upgrade the tracks was too expensive for Amtrak. Also they noticed they could make much better time skipping phoenix all together. The phoenix Amtrak station has been closed since June 1996. There has been a lot of talks to bring the train back, and there's been talks about repurposing the building, but nothing ever comes to fruition. If you want to get to Phoenix by train, the closest stop is Maricopa. From there you could Uber, call a cab, or have family pick you up. Maricopa is between 37 to 50 miles away from Phoenix downtown depending upon what route you take. If you take the loop, it's easily an hour. You could get off in the train in Flagstaff, then take a shuttle to Phoenix.
