This is actually a train station. A very beautiful building, located near the center of Budapest. Nearby is Nyugati metro station and a line of modern trams.
The station is old, but in fact it is new in the sense that the openwork shelter above the former building was designed by the same Gustave Eiffel.
There are large squares in the underground passages, and so everywhere in Budapest. There are shops everywhere, snack bars, and toilets (paid). There are homeless camps with an unpleasant smell at the entrances to the ground.
If you go around the train station on the right, there will be a large shopping center with a convenient grocery store and a whole string of cafes.