In order to enhance the efficiency of stochastic vibration analysis for train–bridge coupling systems, this paper proposes a novel approach based on the parallel adaptive enhanced (PAE)-surrogate model. First, an initial surrogate model is established to predict the extreme values of dynamic responses in the train–bridge coupling system using a small number of training samples. Second, a multipoint adaptive sampling method is employed to determine a set of new samples that provide more information. The theoretical extreme values of the dynamic responses corresponding to the new samples are calculated using parallel computing technology. Third, the surrogate model is optimized by incorporating the set of new samples and their corresponding theoretical extreme values. Finally, new samples are continuously added, and the surrogate model is enhanced until the number of training samples reaches the preset requirement. To validate the effectiveness of the proposed method, two examples are examined, encompassing analytical functions and the analysis of the wheel load reduction rate (WLRR) for trains on the bridge. The results show that the proposed PAE-surrogate model can select samples containing valuable information, significantly improving the prediction accuracy of the surrogate model without increasing the number of training samples. Additionally, the proposed method can fully exploit computational resources, thereby decreasing the number of iterations needed and increasing training efficiency. By considering a four-car CHR2 train passing through a three-span simply supported girder bridge as an example, the proposed method achieves 2.62times higher training efficiency compared to the nonparallel method.