Elliot (Rami Malek) and Mr Robot (Christian Slater) are standing on a station platform waiting for a train to take them to the Alderson family home. A man in a black suit appears to look toward them and says "I thought that was you". The man in black walks forward and embraces a woman on the platform.
If you look carefully there is an F-Society sign on the pillar to the left of the man in black as he embraces the woman, and in the distance behind them there is a large smokestack.
The station sign on the platform says "Port Jervis" but is it really?
This scene was filmed on the Southbound platform of Yonkers Station on the MTA Hudson line overlooking The Palisades (source: rantsthoughtsmerde).
The large smokestack in the background of the shot is at the North Yonkers Pump Station 19 Alexander St Yonkers, NY 10701.