"Is this entire structure set out some distance from the backdrop, or is this something you added in Photoshop?"
Will, all of the city structures sit away from the backdrop. In fact, an elevated track runs behind them.
The station platform sits "underground" beneath the street. The stairs descend from the station to the platform.
The ends of the street are disguised by a few foreground buildings on each end.
Here's the station under the city.