Breathing becomes harder in certain wind conditions

So I'm going to go ahead and tell you outright that it is not the diving reflex.

What you are experiencing is the effect of air pressure.

Our lungs work off of pressure. Specifically our lungs inflate by using "negative pressure" (a word I've always hated). The pressure is not actually negative it is simply lower than the surroundings. Since there is less air in your lungs the air from the atmosphere rushes in because the pressure is higher outside your lungs. This is Boyle's Law (not the pressure outside being higher, but what happens when your lungs expand). Where an increase in Volume means a decrease in Pressure (if all else remains unchanged). In fact plants pull water up using negative pressure.

However to push out the air from our lungs we supply pressure using our muscles that overcomes the outside pressure and forces the air out.

The reason you feel your breathing change is because when that train passes by you correctly observed the strong gust of wind. This gust of wind has some force behind it that normally is not in the air you are breathing from the atmosphere. It has more force which increases the air's velocity. This actually decreases the pressure, but there's no need to get into that here (Bernoulli's).

The reason it feels like your body is "fighting to breath" is because the air is traveling in a direction with some force that you need to overcome by opening up your lungs just enough to "suck" the air in with negative pressure. This is more than the pressure you usually need to produce in order to breath in air that is "still".

What is funny to think about is we don't really have a muscle that "pulls" air in, even though it feels like you are actively doing that. The air actually rushes in on its own. All you do is expand your rib cage, which your lungs are attached to (look up on how, it's actually pretty cool), thereby making inhalation occur.

Now an interesting question for you to ask yourself is why is cold air harder to breathe?