Never been to that specific depot but the cold + watched combo is pretty classic residual energy stuff. Train stations picked up a lot of trauma historically - deaths, separations, people leaving and never coming back. That kind of emotional weight tends to stick around in the fabric of a building.
Did the cold feel localised? Like you could step in and out of it, or was it more ambient throughout the whole space? That distinction actually matters a lot when you're trying to work out whether you're dealing with residual versus intelligent haunting.
I had something similar in an old goods yard in Norwich a couple of years back. Bone cold in one specific corridor even in August and the feeling of eyes on the back of your neck was relentless. Nothing showed on the thermal but the EMF was spiking consistently.
Anyone else been to the Macon depot? Would love to hear if theres a pattern of reports from that location or if this is relatively new activity.