Grove was just off of the Simpson Drill Field. The train station would have been next to the tracks. Welborn Road might be on top of the old site, now. I think there are some aerial photos/maps. Will try to find.
Says built 1900, razed 1966. Looks like it was actually two buildings, one on each side. From the map, it appears to be due "west" of the grove. Or at least whatever that is on top of where the Grove used to be.
I scanned this photo of the RR Depot from an old aggie yearbook several years ago. I forget what yearbook it came from. I have a small collection of them from the 20's to the 50's.
The depot in the foreground is the H&TC (Southern Pacific) primarily passenger service terminal. The smaller depot in the background is the I&GN (MoPac) primarily cargo terminal.