The magazine, called Reach, is being distributed free on trains as well as being mailed to 4,000 members of First Great Western's Forward customer programme.
It features celebrity interviews, book reviews, articles on work issues, sport, music and places of interest. The magazine will be published four times a year.
Alison Brown, the advertising and promotions manager at First Great Western, said: "Reach is part of our commitment to provide customers with more than a means of getting from A to B. It provides entertainment and information for the cross-section of people who travel with us.
"Reach carries the only third party advertising on board our high speed, long-distance services and is the only way to reach customers in this environment."
Advertising for the title is being handled by Archant Dialogue.
First Great Western serves the South West, Wales, Bristol and the Cotswolds, carrying 21m passengers a year on 200 high-speed services to and from London's Paddington station. First Great Western Link runs 810 local services carrying 37m passengers annually.
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