Numbers 144 to 149 of the New Haven were six 4-4-0 express locomotives built by Baldwin in 1887. With a service weight of 112,000 pounds, they were heavier than most American 4-4-0 locomotives built a few years earlier. Allegedly, they were designed after specifications given by the New Haven whose proportions were not quite right. Angus Sinclair wrote that many parts were built too massive and that the cylinder dimensions were off. As the impression on the photo suggests, they had a too short stroke of only 22 inches, while their diameter was too large at 20 inches. Actually, they got new cylinders with a stroke of 24 inches and a diameter of 19 inches in 1900. By this time, they had become class B-4. All were retired between 1925 and 1927.

In the mid-1930s, the New Haven had a requirement to haul a twelve-car (830 short tons) train at 60 mph (97 km/h) on a 0.6 to 0.7 percent grade. Since only 40 or 45 mph were allowed in many places in the New Haven network, good acceleration was also necessary. Due to the axle load being limited at the same time, a locomotive with a 4-6-4 wheel arrangement was developed for these requirements.

The ten class I-5 locomotives were the last new steam locomotives of the New Haven. They were the first in the US to have partial streamlined fairing that still allowed good accessibility for maintenance. The last I-5 class locomotive was retired in 1951.

The New Haven operated a total of 35 of the original USRA 0-8-0 design. All were built by ALCO-Schenectady, 15 in 1920 and 1923 directly for the New Haven and 20 in 1922 originally for the Central New England. The specs given in the diagrams of the operator differ a bit from the original USRA diagrams, most notable a boiler pressure of 190 instead of 175 psi. The firebox surface given below contains three arch tubes with a total area of 18 square feet. They were retired between 1949 and 1952.

The New Haven only operated two classes of Mikados, all of which were built by ALCO-Schenectady in 1916. All had drivers of 63 inches and a grate area of 59.2 square feet, but the two classes differed in size. The largest part was made up of the lighter J-1 which were numbered 3000 to 3024. They had cylinders of 25 by 30 inches which were controlled by outside Baker valve gear.

Without their tender, the J-1 weighed 126 tons. They had a combustion chamber with a surface of 59 square feet. Of three thermic syphons with a total surface of 69 square feet, two were mounted in the firebox and one in the combustion chamber. The boiler pressure was originally 180 psi, but was increased to 200 psi in the thirties. The tenders contained 12 tons of coal and 7,500 gallons, but were later replaced by a bigger one with 14 tons of coal. They were retired between 1947 and 1956.

The larger J-2 weighed 155 tons and was intended for steeper grades. They were numbered 3100 to 3107, although the last three had originally been intended for the Central New England Railroad. Their combustion chamber measured 71 square feet, but instead of thermic syphons they had four arch tubes with 28 square feet in total. These locomotives could not convince on steep lines as they did not have mechanical stokers and did not produce enough steam in some situations. So they were quickly transferred to easier grades and ended as helpers. Their end already came in 1946.