There is only one king. I assume you mean the king and queen each went on a different train or did other family members or a foreign king (Carl Gustav comes to mind) join them as well?
Edit: just watched the video and king Harald and queen Sonja both entered the royal train carriage, so they clearly traveled with the same train. No other royals were in sight. The king doesn't seem to be in good enough shape to go skiing but I hope he'll enjoy his time in their cabin.