I recall the station is the same. I think you have to change because
Spanish and French trains use different gauge tracks.

That is right. That is why you need to change trains at the border. Just
do not get off the wrong side of the train like my god-daughter's friend did
three years ago (which led to a rail strike on the part of French railway
workers) when she was killed by a passing freight train when she got off the
wrong side of the train (it opened when she pressed the button and
descended) onto a fast track being used by the express train with right of
way.