Take the S shuttle train (color code grey) west across 42nd Street, from Grand Central (East 42nd) to Times Square (West 42nd). Then walk through the tunnel that connects the 42nd Street-Times Square Station to the 42nd Street-Port Authority Station.

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Grand Central Station is on Lexington Avenue and East 42nd Street. Penn Station is between 7th and 8th Avenues, from West 33rd to West 34th Street.

When you exit Grand Central Station, walk west on 42nd Street. Forty-second Street is a two-laned street that runs west to east and east to west. The north side of 42nd Street is the side that goes east to west, and Grand Central Station is on the north side of 42nd Street. So, to go west, you follow the direction that traffic is going on the side of the street you are on.

Walk west until you get to 7th Avenue and West 42nd Street. At 7th Avenue, turn left, and walk south to 33rd Street. The east entrance to Penn Station is on 7th Avenue and West 33rd Street.

The total walking distance is about a mile and a half.

If you would rather take the subway, then, take the S shuttle train (color code grey) west across 42nd Street, from Grand Central (East 42nd) to Times Square (West 42nd).

At the Times Square Station, transfer to either the Downtown 1, 2, or 3 trains (the red line) or the A, C, or E trains (the blue line). Take the Downtown 1-2-3 or A-C-E ONE STOP to Penn Station (which is 33rd Street on the 1-2-3, and 34th Street on the A-C-E).