Using 9277 records from the 2020 China Graduate Student Satisfaction Survey, we examined the relationship between STEM Ph.D. students' research training and their subsequent career interests. Based on the student involvement theory and social cognitive career theory, four dimensions of research training (quantitative involvement, qualitative involvement, and the advisors' instrumental and psychosocial mentoring) and a linking mechanism between research productivity and self-efficacy (a belief in one's ability to perform particular behaviors or courses of action) were identified. Using the number of participating research projects, research roles, advisor--student communication time, and advisors' psychosocial support as proxies for these dimensions, we found that quantitative involvement, non-peripheral qualitative involvement, and advisors' psychosocial mentoring are positively associated with students' subsequent interest in research-oriented careers, indicating that research training is significantly associated with future career interests. The mechanism linking research training and career interests includes the path via research productivity and self-efficacy, but it does not apply to all research roles. The associations between quantitative involvement and career interests, and between advisors' psychosocial support and career interests also show such mediation effect among students with nonresearch-oriented motivation, suggesting that they need explicit signals and direct psychosocial support to reshape their career outcome expectations.