Set in the remote Turkmen town of Atamyrat some 1,000 kilometres east of the capital, the launch ceremony was attended by Afghan President Hamid Karzai, Tajik President Emomali Rakhmon and Turkmen President Gurbanguly Berdymukhamedov.
A golden rail symbolised the start of construction, which the three nations hope will extend 400 kilometres and help rebuild the war-torn Afghan economy.
Until now, the only transport links between Turkmenistan and Afghanistan have been by road.
"It is an important and timely step and a symbol of our good neighbourly relations," he added.
Karzai meanwhile described the launch as a "historic event" and vowed that Afghanistan would use "all its forces to realise this project".
The Asian Development Bank (ADB) is expected by the three states to help finance the project.
Boasting huge gas reserves, Turkmenistan is keen to take advantage of its natural wealth by boosting cooperation and influence with its resource-poor Central Asian neighbours.
The latest project is planned to run from Atamyrat to the Imamnazar border point before heading into Afghanistan and then Tajikistan.
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