The supernatural element in this excellent short story seems to take the form of how ghosts or other supernatural beings interact with the human world to warn--either before or after the event--humans about a tragedy that is about to occur or has just occurred. Note how the signalman describes the first apparition that he tells the narrator about:
"One moonlight night," said the man, "I was sitting here, when I heard a voice cry, "Halloa! Below there!" I started up, looked from that door, and saw this someone else standing by the red light near the tunnel, waving as I just now showed you. The voice seemed hoarse with shouting, and it cried: "Look out! Look out!""
The strange appearance of this figure combined with the fact that in six hours after this apparition, a terrible accident occurred and the dead and wounded were placed on precisely the spot where the apparition had appeared. The supernatural element of this story thus seems to take the role of a warning of imminent danger or accidents, which tortures the signalman because of his inability to use these warnings to prevent these accidents occurring. Chillingly, at the end, the supernatural visitor indicates the death of the signalman himself.