When fought aboard the Phantom Train, Siegfried opens the battle with eight physical attacks on random targets that do very little damage. With only a hundred HP, almost any attack will defeat Siegfried in one hit. If Shadow is in the party, Interceptor might block and Counter his attack, defeating him without the player getting a chance to attack him.
In the Coliseum, Siegfried is much more powerful. His normal physical attack can do a thousand points of damage per hit, and he can use Metal Cutter to do high damage. He can also use Hyperdrive, this attack ignore Defense and thus is almost guaranteed to Knocked Out the player's character.
The easiest way to defeat Siegfried is to equip Terra, Celes, Locke, or Edgar with the Ultima Weapon, another strong weapon, a Genji Glove, and the Master's Scroll. If the player is lucky, their character will attack eight times and likely kill Siegfried in one turn; under this set-up, each attack only needs to do 4,000 - 5,000 damage to kill Siegfried.