Union Station, at 401 W Harrison Street in downtown Phoenix next to jails and courthouses, opened in 1923 is an example of Mission Revival Architecture. As a major transportation hub for the city, up to 18 trains a day stopped at Union Station in its heyday. One story I remember is husbands would ship their wives up to Prescott for the summers in the cooler weather and a train of women would arrive on the next train to entertain the then lonely men.
According to Wikipedia, outside of the occasional special tourist trains, Amtrak was the last company to use the station in 1996.
Union Station is where Winnie Ruth Judd, aka the Trunk Murderess, loaded up her luggage trunks stuffed with her freshly dead (and one chopped) up best friends.