Hi Jody,
Freight car wheels were usually either painted black or delivered in bare metal. They would quickly rust but railroaders have told me that the rust never gets to the point that it will destroy the thick steel wheel - except maybe in 200 years.
Eventually, those wheels are caked with dust, dirt, metal particulates, grease, oil, soot, and mud. They can take on the color of the terrain they roll through, and vary by season.
Here is a small feature I put together:
Train Wheel and Truck Muck