The Third Level by Jack Finney

A weary New York office worker discovers a hidden “third level” at Grand Central Station that appears to open onto an earlier, quieter era; drawn to its calm and promise of escape from modern pressures, he begins slipping between worlds, confiding in skeptical friends and a psychiatrist, and the story closes on an ambiguous note that leaves uncertain whether he has truly traveled in time or retreated into a comforting delusion.