Angst? What Angst?: The first book doesn't show any of the Alden kids grieving the loss of their parents or stressed about how they're going to survive. Mostly averted in the movie when Benny asks if they're going to live in the boxcar forever.
Archive Panic: This series is infamous for this, currently having well over 150 books in the series including the "special" series of books and the original books by Gertrude Chandler Warner.
Nightmare Fuel: In one book, Jessie is attacked by the criminal and has a bag shoved over her head and tied on. If Henry hadn't heard the noise and run outside...brrr...
It's never explained how Mr. and Mrs. Alden died, leaving their kids orphaned. There's also no mention of whether the Boxcar kids stuck around long enough for the funeral and there aren't many details on the kind of lives they led prior to their parents death.
We never learn why James Henry Walden had no contact with his son and the Boxcar kids. Henry explains early that he and their mother didn't get along, but this isn't elaborated on.