Unfortunately, the power supplies do tend to go out.
If you have a voltage meter you can check it.
But, when you put the engine on the track, does the light come on and get brighter as you increase the speed on the power supply?
Also, has the train worked recently on the track you are using - drity track can cause problems - with the power supply on about level 4, try moving the train on the track by hand and see if you feel anything.
You can also try cleaning the pickups and wheels and if you are really ambitious, open up the engine block and make sure there are no broken wires and the wheels and pickups are making contact with the wire.
