Times Square is less than half a mile from Penn Station. Penn Station is at West 33rd to West 34th Streets, between 7th and 8th Avenues. The heart of Times Square is at West … 42nd and 7th Avenue.   So, Times Square is 8 blocks north of Penn Station.   When you exit Penn Station, you will come out either at the west or the east entrance. The east entrance is at 33rd - 34th and 7th Avenue, and the west entrance is at 33rd - 34th and 8th Avenue.