It 's a large sandstone building built in 1892 .
The train depot where Belushi 's character says goodbye to Blair 's character , but later gets back on the train is the Michigan Central Railroad Niles Depot in Niles , Michigan about 90 miles east of Chicago .
Chicago 's a large Chicago   built in 1892 .
The train depot where Belushi 's character says goodbye to Blair 's character , but later gets back on the train is the Michigan Central Railroad Niles Depot in Niles , Michigan about 90 miles east of Chicago .