Steam locomotives were frequently bathed in steam. The steam would condense on the cooler surfaces of the locomotive exterior, and create various shades of gray, anywhere from very light to very dark, so the whole range of grays might be present. In addition, being frequently doused with condensed water, rust was always a problem, so there would be rust deposits in various places.
On the grays, you have two choices- mix your own, or buy ready-made dirty, grimy blacks. Floquil made a couple of nice grimy and dirty off blacks. Many brands of hobby paints have some nice rust colors.