Why don’t trains have bridges to go over or tunnels to go under?

Bridges and tunnels are expensive who will pay for it. When it is necessary it will happen.

Plan for delays and you won't be late.

Learn the train schedule.

Many do have bridges and tunnels.  It's called "grade separation".

But, for the most part, the railroads were granted right-of-way before the crossroads were built.

It's also far easier to build a vehicle bridge or tunnel than a railroad bridge or tunnel.  trains can't climb a steep grade, so they would need more land for a bridge.

All you need is money.  Plenty of money, even for a vehicle bridge.

They don’t have them for trains but they do have them for cars and pedestrians. They’re called overpasses and underpasses. They’re roads that take you over or under railroad tracks. It’s up to the city to construct them because railroad companies can do whatever they want. It has always been that way.