Welcome to the forum.

Make sure that the track, and the wheels and pickup rollers on the locomotive are clean and free from dirt and oil. Clean everything with a ScotchBrite pad, and wipe everything down with naphtha to clean up any residue.

Locate the switch for the reverse function, and slide it back and forth a few times to insure good contact.

If all this does not work, there is an internal problem with the locomotive.

What is the exact set number you have? There are many Polar Express sets, many with different locomotives.

Larry