If you like historic districts and walking tours, the Stockade District in Schenectady is walking distance from the station. It has a terrific collection of old homes from colonial to Victorian times, well-preserved, colorful and worth a visit. There is a guided walking map available online and a cell-phone tour.
For food, oddly enough there is a terrific Moroccan restaurant called Tara Kitchen. Also a favorite for lite fare and coffee is the Moon and River Cafe. It's a very eccentric place with music at night and friendly locals. Finally, next door to the station is a very decent Irish pub, Katie O'Byrnes.
Everything is accessible on foot. All of my visits were pre-Covid, so what's open now is anyone's guess. For a stay-over, I used the Stockade Inn in the Stockade district. There's also Proctor's Hotel downtown, about 5 mins. from the station on foot. It's next door to the historic Proctor Theater.