I am going to go out onto a limb here and assume you are talking about code 80 peco turnouts. This is a common issue and is solved rather simply. Because these turnouts are designed for European standards the distance between the guard rail and rail is larger then what the NMRA standards are. This is to allow the thicker European flanges to clear. Because of the increase in the gap it allows the wheels to float through the points and pick them. You can see this by taking a spare truck and running it through the turnout by hand. First keep it tight against the rail and it will follow the path correctly. Then try the same path but keep the truck tight against the guard rail and you will see the wheels pick the frog. To fix the problem take a .010" piece of styrene and glue it to the guard rail, cut it flush at either end and flush to the top and this little spacer will make the gap proper for NMRA standards and should solve your problems. I've added a picture to show what I mean to help you out to visualize everything.
Bizarre? You can't get
any steam loco
any Peco turnout?
After you have made a concentrated search looking for gremlins the only suggestion I could make would be to grab a file and make sure that everything is smooth and even at the frog.
Any (steam) locomotive? Any turnout? Spooky!
From the far, far reaches of the wild, wild west I am: rtpoteet
The two things that most commonly cause this kind of issue are wheels that are not in guage (and steam loco's seem to really be offenders of this) and turnout points that need to be tuned. For the wheel problem just use an NMRA guage to make sure that every wheel is set to proper guage. You'd be surprised at how many come from the factory out of guage. This should help a bunch with the frogs and the guard rails issue. Next, use a jewlers file (you can get mall files at the local hobby shop or on line) and gently file the points on your turnouts (both sides, inner and outer). It doesn't take much usually. You just want those points to lay up tight on the rail they lean on. If you get really fired up you can file tiny notches (featherd on the edges so as not to cause any burs) for the points to lay into. It's tedious work, but it makes that turnout function at it's best. Tuning those turnouts will help keep from having your rolling stock "pick the points" and derail.
Lastly, on some loco's it helps to add a small amount of weight to the lead truck. At the hobby shop you can get moldable lead putty that works well for this. This is best to do as a last resort. Try the other stuff first.