Here's Winnipeg's Union Station. It was for many years used by CN trains, and is still actively used by VIA Rail as two routes (the Canadian and the train to Churchill) continue to pass through there, although most of the building is leased out to other tenants these days.
There is a large old CN hotel, the Fort Garry Hotel, a block away on Broadway.
Source: kenmcgoogan.blogspot.com
In addition, Winnipeg has a grand old CP station. It hasn't been used by passenger trains since 1978, though. These days it is the Aboriginal Centre of Winnipeg... it's in decent shape although it hasn't been maintained quite as well as Union Station. The matching old CP hotel, the Royal Alexandra Hotel, was demolished sometime in the early 1970s.
Source: Wikipedia
Here's the now-demolished Royal Alexandra Hotel which was once linked to the station:
Source: pointdouglas.blogspot.com
In addition, Winnipeg has one other small, no longer operating railway station out in Saint Boniface. It used to serve the Greater Winnipeg Water District Railway which once ran passenger trains out to Shoal Lake on the Ontario Border (where Winnipeg draws its drinking water from). These days it's just railway offices, no passenger trains anymore.
Source: barraclou.com