English has no literal word-to-word equivalent to this - this french "à" is used to describe the main property of a noun, and the translation in English when no original word exists is via a nominal group or a concatenation of nouns. An "avion à hélice" is a propeller plane, a "bateau à vapeur" is a steamboat, or an "étui à lunettes" is a glasses case. So a "train à grande vitesse" is similarly just a high-speed train.

"of" in English here sounds like you're describing what the object is made of instead of its property. A "boat of steam" is made of steam, it's not the same as a steam boat.

You don't translate it, that's the point. Train à grande vitesse means high-speed train. There is no "of", "at" or "with" there.

Similarly, pain au chocolat does not mean "bread of the chocolate" or anything silly like that. "Chocolate bread" would be the closest translation but since this is ambiguous in English we just use the French word as a loanword.

You won't learn anything by trying to find an English analogue for words like à in French. It will probably actually set you back. You just have to learn it how natives learn it. It's French because it's French. There is no other definition and you can't draw on any other language for guidance. This goes for all natural languages.

It's not the "of", it's just that "grande vitesse" means "high speed", it doesn't have the undertones that "great" has in English. Unless I'm overinterpreting the meaning in English (French is my native language, not English).

Maybe also "with"?

I think it's sense 13 at

https://en.wiktionary.org/wiki/%C3%A0#Preposition_3

If so, the most natural English version (when choosing to use a proposition at all) would probably be "with".