It is a large train station in Dipton, Empire Bay. It is seen during the beginning of Home Sweet Home where Joe picks up Vito on his return from the war. It is also seen in the chapter A Friend of Ours when Vito drives Leo Galante here to take a train to Lost Heaven.
The player cannot see any trains arrive or the station (except for the train in which Vito arrives in the opening cutscene of Home Sweet Home). There are only four known destinations for outgoing trains: Brooklyn, New York, Birkland and Lost Heaven.