You can easily walk there when you are in the Chinatown or Lake Gardens area.
The KTM Komuter train still stops here (Kuala Lumpur station).
The station is a also a departure point for a few bus companies (Plusliner, Nice Bus).
inside the station
The KTM headquarters (Bangunun KTM Berhad), just opposite the railway station, was completed in 1917. It was designed by AB Hubback in Mughal-style architecture just like the railway station.