I didn't find it so easy. I didn't recognize the Hudson name at first. Fortunately, the same eBay lot included a couple of photos of the depot in Buffalo, with this sign:
The coaling dock visible above the baggage car made it clear that this wasn't Buffalo, so it had to be Pine Grove.
Full depot photo:
The set came with two nearly identical prints of this photo. One was gray scale with slightly better detail in the highlights, the other had a sepia tone. Does anyone want the sepia print?
Another great photo from the same lot: