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6 September 2015 Last updated at 11:33 BST
Huge crowds of German people gathered at the station to cheer them on as they arrived.
Many of them held signs saying "welcome" written in German and Arabic, and offered bottles of water and sweets to them.
German police said around 7,000 refugees arrived at Munich station on Saturday, most of them had travelled from Syria.
They will now be sent on to special reception centres all over Germany where they will receive hot food and clothes.
BBC reporter Jenny Hill is at the train station in Munich...

Joe Lawton, 17, shot himself at his family farm in Greater Manchester two days after his arrest.
His parents, Nick and Jane Lawton, are urging the Government to change the law, which says 17 year-olds are not children in custody.
The Home Office believes current laws are adequate.
Joe was arrested when police stopped him as he drove his new car home from a party last August.
He was kept overnight at Cheadle Heath police station in Greater Manchester without his parents' knowledge because he was not classed as a child.
Two days later he took his own life, using a shotgun from the family farm. The police charge sheet was at his feet when his father found him.
Joe's parents believe they could have given him more support had they been able to see him in a police cell.
In a statement on the change.org website, Mr and Mrs Lawton said: "He was just 17 and had made a bad decision to drive home after a party. Two days later Joe took his own life.
"We were not called when he was arrested or given the opportunity to give him the support he needed."
They added: "The fact that a 17-year-old is treated as an adult whilst in custody is an anomaly of British law.  Once they are charged they are then treated as children. This simply does not make sense."
"We believe if the law had been different Joe would still be alive."
A Home Office spokesman said: "We believe the laws in place ensure the appropriate level of care for everyone, including 17-year-olds."
Hundreds of migrants were given a warm welcome when they arrived at Munich train station in Germany.
[NEXT_CONCEPT]
The parents of a boy who killed himself after being arrested for drink-driving arrest are calling for 17-year-olds to be treated as children in custody.