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Is there any difference?

Did you meet her yeasterday? - I was late. When I came the train had already gone/left.

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The slight nuanced difference might be

the train had already left.

implies a short time ago

I just missed the train, it had just left.

Whereas

the train had already gone.

might mean you missed the train by a greater amount of time than "left".

Both mean you were

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