The walk to the lockers and the locker scenes were filmed at the Lackawanna
train and ferry terminal in Hoboken

The lockers are on the upper level whilst the stairs lead to the platforms and
trains on the ground level.

Recent photo of the main entrance to the waiting room

Following the red arrow through the main entrance and waiting room, you would
come to the platforms, trains and the bottom of the stairs.

The window highlighted above in yellow and the two adjoining windows

are the same as these windows

The windows at the top of the stairs (recent photo)

are the same as these windows

and also these windows

Recent photo of the area beyond the waiting room where passengers get on
the trains.  The bottom of the stairs, marked with a red arrow, is out of
camera range to the left of this photo

Bird's eye and map views

This location has been used in many other movies e.g. Funny Girl (1968) with Barbra Streisand and Omar Sharif.