The upset passenger says she saw a man unbuckle his trousers and take his pants down before the woman performed a sex act on him.
The woman, who wishes to remain anonymous said she told staff at Cleethorpes train station about the incident after she and the couple had got off the train.
She said: "I was on the 1.30pm train from Sheffield to Cleethorpes and got on the carriage which had a group of drunken lads and a nice looking couple on.
"I sat opposite the couple as they looked nice and I felt I'd be better sat next to them than the drunken men.
"After a while, the man had his pants down - I didn't know where to look.
"I was coughing loudly and looking out the window to try and make them aware that I was there.
"At one point, the man pulled his coat over the lady, but you could clearly see what was going on."
"I just felt so uncomfortable.
"At Cleethorpes, both myself and the couple got off the train and I just shook my head at the pair of them, but they just looked at me and smirked."
She added: "They must have been in their 30s, I was just so shocked they would even think about doing something like that.
"I felt incredibly uncomfortable throughout the whole thing.
"I spent £200 on a return ticket from Bristol to Cleethorpes and that is not what I wanted to experience."
A spokesperman for British Transport Police said: "We received a report on January 3 of a couple engaging in a sexual act onboard a train Cleethorpes.
"The incident occurred on January 2.
"Further witnesses or anyone with information can contact BTP by texting 61016 or calling 0800 40 50 40 quoting reference 287 of 03/01/22."
A TransPennine Express spokesperson said: “The safety and comfort of our customers and colleagues is of paramount importance to us and we are sorry for any distress experienced during this journey.
“This type of behaviour is unacceptable, and we are now working closely with colleagues at British Transport Police to identify and trace those responsible.”