The model and her musician husband dressed in overalls and conductor hats along with the rest of their brood, which includes daughter Leni, 5; son Henry, 4; and newborn daughter Lou, six weeks.
"They really got into the spirit of the whole train theme," says a source. "They always have so much fun together as a family."
Guests were greeted at the house by red, blue, green and yellow balloons decorating the driveway, and once inside rode on a mini-choo-choo train in the backyard. A clown also entertained the kids.
Klum, who gave birth to daughter Lou six weeks ago, looked "fantastic," according to the source – just as she did last week during her surprise trip down the runway at a Victoria's Secret show in New York.
Reporting by PERNILLA CEDENHEIM