Station London St Pancras International is one of the largest stations in London, right next to King's Cross station. Since 2007 the London starting point of the Eurostar, the high-speed connection through the Channel Tunnel.
They meet at Kings Cross Station, actually filmed across the road in St Pancras.
While filming inside the station, location manager, Mark Ellis, had to be careful to ensure no lights shone on the tracks to dazzle the train drivers. The noise was also a constraint; you might notice that Lady Edith says very little to Michael Gregson until they leave the platform.