Crossing multiple countries over a couple of days, I've never seen this as possibility.
Going from one country to another is normally one train company, from the origin country, and then moving on from that city - in another country - means a different company, from that second country, and so on.
Going from one country to another is normally one train company, from the origin country, and then moving on from that city - in another country - means a different company, from that second country, and so on.