Wiesel loses his innocence the night he arrives at Auschwitz.
Prior to that night, he often describes himself as an innocent child who only wants to study the Kabbalah. He doesn't understand the implications of the events shaping his fate. He only sees the village he lives in and the people who are near him. Even when Moshe the Beadle returns after being deported, Wiesel doesn't really believe his stories and dismisses him.
He even describes all the Jews living in Sighet as innocent, perhaps mirroring his own impressions. He tells how the fate of all the Jews in the town had already been decided, but they still continued to smile, clearly unaware of what was about to happen to them.
When Madam Schachter begins screaming on the train about fire and death, it is foreshadowing the train's arrival at Auschwitz and Wiesel's loss of innocence.
When he arrives, he witnesses terrifying events like a truck delivering a load of dead children whose bodies are to be burned. He also hears those around him reciting the Kaddish, the Jewish prayer for the dead, being recited in anticipation of their own death.
Wiesel decides against throwing himself against the electrified fence and goes with his father to the barracks, but his life is irrevocably altered and his innocence is lost.