Yes, this is the train station used in the first 'Harry Potter' film. It is located in a village called Goathland. Goathland was used in the filming of Heartbeat TV series. The village is called Aidensfield in the TV series.
A 3 hour drive north from Coventry will take you to the Yorkshire Dales where this station, many beautiful villages and challenging driving conditions can be found. Worth the visit but not in the deep of winter.