As I noted, this is the same train that the movie is based on. In reality it's called the Southwest Chief. (At the time of the movie, the route was for the Super Chief.) What's happening here in the movie is that the brakes have been cut on the train, and Gene Wilder, Jill Clayburgh, Richard Pryor and Pullman porter Scatman Crothers are still on board as it hurtles towards the station.
Here's hoping that my arrival is smoother. And that it doesn't give any ideas to the elves taking care of the homestead how they should treat the place.
While it's pretty clear that most of that's not actually Union Station in Chicago, since destroying the elegant, classic architecture wouldn't have been considered good form, the demolished stand-in is intercut with some moments of the real thing. (Though we do see more of it in earlier sequences of the film, setting up this finale.) However, it's been used in countless movies, perhaps best known for the "Potemkin Odessa Steps" homage in The Untouchables, when they have the shoot-out to pick-up Al Capone's bookkeeper. And also in The Sting. (Oddly, if memory serves, it's the scene when Redford and Newman's characters watch Doyle Lonnegan getting on board in New York, before they themselves get on to start their scam of him.)
But here's what the real Union Station looks like from a couple of photos I've taken in the past.
And here are those steps, which should probably look familiar.
Oh, what the heck. Here's that scene from The Untouchables.