Throughout its existence the FMSR has headquartered in Kuala Lumpur, but has operated in two different locations and three different buildings.
The second and third FMSR headquarters survive to date, the former subsequently housing various occupants before serving as the National Textile Museum and the latter continuously housing successive rail operators in Malaya and Peninsular Malaysia after the dissolution of the FMSR, including the Malayan Railway Administration and Keretapi Tanah Melayu.