Arriva Train Wales said on Wednesday that the bizarre incident was captured on security cameras at a rail station in Wrexham, northern Wales.
Officials say on Saturday, the man tried to board the train heading for Holyhead, where Prince William and wife Kate Middleton, now the Duke and Duchess of Cambridge, live.
The man waited patiently for a train, and when he and his pony were denied transportation, they left.
Britain's Royal Society for the Prevention of Cruelty to Animals plans to study the pictures.
The Associated Press contributed to this story.