Nous changeons de train à la gare.

Because the verb is changer. In French, g stays soft before e or i, but becomes hard before a, o, or u.

So in the nous form, French adds an extra e:

• je change
• nous changeons

That extra e keeps the soft g sound, like the g in genre. Without it, changons would sound wrong.

Changeons is the present tense of changer for nous.

So it can mean things like:

• we are changing
• we change
• we switch

In French, the present tense is often used more broadly than in English. The exact time meaning usually comes from context.

Because French normally says changer de + noun when you mean to change/switch from one thing to another.

So:

• changer de train = to change trains
• changer de place = to change seats
• changer d'avis = to change one’s mind

This is just the standard pattern of the verb in this meaning.

After changer de, French often uses the noun without an article when talking about switching from one item/category to another in a general way.

So you get:

• changer de train
• changer de bus
• changer de vêtements

This is a very common structure. It does not usually need un, le, or du here.

They mean different things.

• changer de train = to switch trains
• changer le train = to change the train itself

So changer de train is what you say when you get off one train and take another.
But changer le train would suggest that the train itself is being replaced, modified, or exchanged, which is not the normal meaning here.

À la gare is the normal way to say at the station as a general location.

• à la gare = at the station
• dans la gare = inside the station building

So à la gare is broader and more natural here. It simply tells you where the train change happens.

Yes, in normal French, subject pronouns like je, tu, il, nous, etc. are usually stated.

Even though changeons already shows that the subject is we, French still normally says nous changeons.

Unlike Spanish or Italian, French usually does not drop the subject pronoun in ordinary sentences.

Yes. In everyday spoken French, on is often used instead of nous.

So:

• Nous changeons de train à la gare = more standard or formal
• On change de train à la gare = very common in speech

Both can mean we change trains at the station.

A careful pronunciation would be roughly:

noo shahn-zhon duh tranh ah lah gahr

A few helpful points:

• nous sounds like noo
• changeons has a soft g sound, like zh
• train has a nasal vowel
• gare sounds like gahr
• the final s in nous is silent
• the final -ent/-ons pattern here ends with a nasal sound in -ons

Yes. Gare is a feminine noun, so it takes la in the singular:

• la gare = the station
• une gare = a station

Noun gender in French usually has to be learned with each noun, so it is best to memorize words together with their article: la gare, not just gare.