According to Wikipedia:
The Danbury Railway Museum (reporting mark DRMX) is housed in the former Union Station on the east end of downtown Danbury, Connecticut, United States. It was established in the mid-1990s following the closure of the station by Metro-North Railroad, and primarily focuses on the history of railroading in southern New England and neighbouring New York. In addition to the former station building, the museum has a collection of heritage railcars in the neighboring railyard it shares with Metro-North.
The station was built in 1903 by the New York, New Haven and Hartford Railroad in response to local pressure for a new station after the three railroads that served the city were merged into the New Haven. At its peak period 125 trains stopped there in a day. In 1993 that had dwindled to a few commuter trains, and the Connecticut Department of Transportation, which by then owned the neglected building, closed it in favor of a newer station on the other side of the block. Within two years the museum was formed and restored the station to its former appearance.
It is architecturally distinctive, with Colonial Revival touches on a Richardsonian Romanesque structure. Alfred Hitchcock filmed station scenes for Strangers on a Train on its distinctive curved platform. In 1986, prior to the museum’s use of the building, it was listed on the National Register of Historic Places. It was joined on the Register in 2005 by the former turntable, the only intact one in the state.
For more information see the official website of the museum