An alternative to the current answers;

If you are not moving when you jump down onto the moving train, it will be passing under you at whatever speed it is going. You are at a standstill, and the train is not.

But when you jump while on a train, you are already moving at the same speed as the train. If the train stopped immediately, but you weren’t strapped in, your body would continue to travel at that speed.

Now if you jumped straight up from the roof of the subway (assuming height clearance) you might assume you should land on the same spot since you are traveling the same speed as the train. But the air resistance might mean you land a little farther behind where you jumped since the train is still moving, but you are suspended in the air (creating drag for you to slow down slightly more than the train).

Another common example used to explain this is people playing catch on a long moving bus. When the ball is thrown forward (the direction the bus is moving) the ball will be going faster than the train, but to the people throwing it, it doesn’t seem like it’s going as fast because they are moving with it. But someone not on the bus standing still would see the ball moving much faster.