Accurate and early perception of potential intrusion targets is essential for ensuring the safety of railway transportation systems. However, most existing systems focus narrowly on object classification within fixed visual scopes and apply rule-based heuristics to determine intrusion status, often overlooking targets that pose latent intrusion risks. Anticipating such risks requires the cognition of spatial context and temporal dynamics for the object of interest (OOI), which presents challenges for conventional visual models. To facilitate deep intrusion perception, we introduce a novel benchmark, CogRail, which integrates curated open-source datasets with cognitively driven question-answer annotations to support spatio-temporal reasoning and prediction. Building upon this benchmark, we conduct a systematic evaluation of state-of-the-art visual-language models (VLMs) using multimodal prompts to identify their strengths and limitations in this domain. Furthermore, we fine-tune VLMs for better performance and propose a joint fine-tuning framework that integrates three core tasks, position perception, movement prediction, and threat analysis, facilitating effective adaptation of general-purpose foundation models into specialized models tailored for cognitive intrusion perception. Extensive experiments reveal that current large-scale multimodal models struggle with the complex spatial-temporal reasoning required by the cognitive intrusion perception task, underscoring the limitations of existing foundation models in this safety-critical domain. In contrast, our proposed joint fine-tuning framework significantly enhances model performance by enabling targeted adaptation to domain-specific reasoning demands, highlighting the advantages of structured multi-task learning in improving both accuracy and interpretability. Code will be available at https://github.com/Hub-Tian/CogRail.