Amritsar Jan Seva Express: हम मजदूर है साहब! - Piyush Singh

Pakistan and Bangladesh were just parts of British India before partition. So the British constructed a lot of railway lines to these regions and there was a large flow of passenger and freight traffic at that time. Whatever lines we have now to these countries, were laid decades ago before independence. Just to maintain some connectivity, some of these lines have been reopened now.

Sri Lanka, Bhutan, Nepal and Myanmar, were different.
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Sri Lanka is an island, requiring a 30-35km long bridge over the the Bay of Bengal to get a rail connection. This was in fact surveyed by the British, but there realized that it was uneconomical and that boat ferries would do a better job. Also, the bridge would severely affect the movement of ships and interfere with the marine life movement in the area. Now, it is an unnecessary expenditure as the flow of traffic between Sri Lanka and India isn't much. Freight is better served by ships and passengers by flights.

Bhutan was never directly ruled by the British. So historically, there wasn't much flow of traffic between Bhutan and British India. The country is also entirely hilly, making railways a very difficult proposition. That's why there were no historical rail connections. Even now, the expenditure in laying a railway line to Bhutan would be enormous considering the tunnels, cuttings and viaducts required to cross the mountains. This again, is unnecessary considering the low amount of traffic.So, no serious interest from both governments.