Just to clarify, my understanding is the current train station building has always been in its current location since it was built circa 1915, replacing a station that was farther southeast (this was the era in which the tracks were also elevated). But it used to have long platforms which could be accessed from Penn.
Here is a map from 1903 showing a station along Wood near Franklin:
http://historicpittsburgh.org/island...75e1941/viewer
Here is one from 1915 showing the "new" station, same shape as today and same location at the end of Ross:
http://historicpittsburgh.org/island...ns-0003/viewer
Here is a map from 1941 showing the train station and platforms with access at Penn:
http://historicpittsburgh.org/island...75e1941/viewer
A couple postcards from the early era showing the station and platforms:
From what I have read, the platforms were removed some time between 1975, when Amtrak discontinued use of station, and 1981, when there was briefly commuter service between Pittsburgh and Greensburg. That service stopped in Wilkinsburg, but didn't use the station in part because the platforms had already been removed by then (or so I was told).
So I assume the references above are to the Busway station.
ETA:
Here is a reference to the "relocated" Busway station in December of 2002, in the context of discussing the opening of the Park and Ride lot:
https://www.bizjournals.com/pittsbur...9/daily32.html