There's a New York State historic site marker identifying this as a Delaware & Hudson railroad station, built in 1889. Usually, markers that say something like "Site of..." it means whatever it was isn't there any more.
It's certainly here, and it certainly looks like 1889. It's in pretty rough shape. Supposedly, when Hillary Clinton was a Senator from New York, she got something like $750,000 to renovate the place. How long ago was that, and nothing has been done yet?
There's a rather decrepit looking AMTRAK station next to this, and what appears to be a brand new concrete platform extends right past this building along the tracks. Maybe something will happen soon; it is, after all, listed on the National Register of Historic Places.