A rail depot is an important part of the transport network in Imperialism. Costing $2,000 and taking 3 turns to build, it gathers all food, resources, horses, etc in its own terrain tile and in the six adjoining tiles, and, if linked by rail to the transport network (which means either the capital or a depot in a port), makes them available for transport to industry by way of freight cars assigned on the transport screen.
It looks like a little shed. See two of them illustrated below. Any village that has a linked depot built in it or on an adjoining tile will eventually grow and produce materials to add to the industry.
There's no equivalent in Imperialism 2, where a road or railroad collects from its surroundings with no additional structure.