Option 1 - Kharagpur Railway Station: This option is not the correct answer. Kharagpur Railway Station is not a World Heritage Site.
Option 2 - Howrah Station: This option is not the correct answer. Howrah Station is not a World Heritage Site.
Option 3 - Chhatrapati Shivaji Terminus: This option is the correct answer. Chhatrapati Shivaji Terminus, located in Mumbai, is a World Heritage Site. It is an important railway station known for its architectural beauty.
Option 4 - Kanpur Central: This option is not the correct answer. Kanpur Central is not a World Heritage Site.
Therefore, the correct answer is option 3 - Chhatrapati Shivaji Terminus.