Interior N.Y. subway, 14th St. to 42nd St.

"The camera platform was on the front of a New York subway train following another train on the same track. Lighting is provided by a specially constructed work car on a parallel track. At the time of filming, the subway was only seven months old, having opened on October 27, 1904. The ride begins at 14th Street (Union Square) following the route of today's east side IRT, and ends at the old Grand Central Station, built by Cornelius Vanderbuilt in 1869. The Grand Central Station in use today was not completed until 1913." - Library of Congress https://www.loc.gov/item/00694394