BEIJING—The arrival of a North Korean train in the Chinese capital sparked frenzied speculation that Pyongyang had sent a senior figure—perhaps even leader Kim Jong Un—on a mission to strengthen ties with Beijing ahead of a planned summit with U.S. President Donald Trump.

South Korean authorities said they believed the train had pulled in Monday, but they didn’t know who was aboard. China’s Foreign Ministry spokeswoman said she was “unaware of the situation.” Several foreign diplomats said they understood a high-level North...