Refers to the final train service of the day on a given line.
I missed the last train of the night, but I caught the final train service.
The last train from this station is at 12:05 a.m.
終電 is the common everyday term for the last train of the day. 最後列車 is more formal and often used in announcements or written notices.
Compound of 最後 (last) and 列車 (train).