The Jet Engine only appeared in the sixth season episode, Thomas the Jet Engine. Thomas went to Brendam Docks to collect the jet engine from Cranky, who got huffy after Thomas told him to hurry up, and accidentally switched it on, sending Thomas rocketing off down the line, only stopping when the Jet Engine ran out of fuel.
Note that this would not happen in real life, for the following reasons: a Jet Engine would never be transported carrying fuel, Thomas would have surely derailed at the speed he was going at, and, even if he did not, the friction would have ground his wheels down to nothing.
The Jet Engine is mounted on a large grey wellwagon, which also consisted of a red fuel tank and two large crates covered with tarpaulins.
One point to note is the model has a larger central box while "engaged" (this can be seen as the box is wider than the truck itself), probably to house the large motor which powered the model.