Hello! I actually live in Saint Paul, so am pretty familiar with the area.
Union Depot is fairly well connected to the local transit infrastructure. The light rail outside the front door will bring you to Minneapolis, with numerous stops in between that will give you options for a bite to eat. The 21 bus runs east-west from Union Depot along a main city street and across the river to Lake Street in Minneapolis, ending in the Uptown neighborhood (one of the "entertainment district" neighborhoods.) The 54 bus takes a southwesterly path through Saint Paul, hitting the airport and then going to Mall of America. A day pass at the light rail ticket machines or on the Metro Transit mobile app runs between $4 - $5 (depending on time of day and day of week) and works on all light rail and local bus service (which would be all most tourists would use.)
Weather can be different from year to year, but late February is, on average, cold but not bitterly so. In general, Minneapolis/St. Paul is about 5-10 degrees colder than Chicago on the average day. However, each year is different: one year a cold front can hit and cold air flows in making it bitterly cold, and the next could result in an early warm spell (with 40 degree Fahrenheit highs.) If it's a bitterly cold day, I'd steer more towards the indoor activities, where a warmer day could allow you to walk a few blocks from local station stops. In
For breakfast, I'd suggest one of two options:
- Java Express in Union Depot. The food is made on site to order, and it's pretty tasty. Breakfast sandwiches and a couple of entree options are available, along with a selection of pastries and drink options. Especially good on a cold day when you don't want to go outside much.
- Mickey's Diner. It's a 3-4 block walk from the 10th St. Station and is, I believe, a bit famous in terms of local eateries. It came in via rail car and it's still quite small but still oozes a bit of history (and a lot of grease and lard.)
After that, I'd check out the
Minnesota State Capitol. To be fair, I'm a fan of state capitols in general and love my home capitol (I've lived in Minnesota pretty much all my life, only going to college out of state for 2.5 years.) It's been recently restored, and depending on the day the Legislature may be in session (they start on Feb. 20th at noon.) If they're in session, you're welcome to go up to the viewing gallery and watch either the House or the Senate; they're open to the public and no ticket is required. All year they have tours of the building which are free as well and informative. I've also just wandered around the Capitol building at times on my own and haven't had any issues with that either.
For lunch, you can either eat at the cafeteria on site at the Capitol (it's open during the legislative session and there's some cool murals and such, but the food isn't anything to write home about) or you can make your way over to Minneapolis (either taking the 21 bus from Union Depot or transferring from the Green Line at Snelling Ave.) and eat at
Midtown Global Market. There's a number of food options of all varieties, including Mediterranean, Indian, Moroccan, African, and Mexican (along with an American option.)
After lunch, especially since you've mentioned it, I'd go down to the Mall of America. From Midtown Global Market, you can either take the 5 bus all the way down or take the 21 bus to the Blue Line, which also goes down to Mall of America. It's really just a big mall at the heart of it, but it seems to really have almost any store you would want. The indoor amusement park is also decent, although I'll never fully forgive it for abandoning its Peanuts comic strip roots. There's a mirror maze, a comedy club (although usually doesn't have matinees) and a fair amount of other options. I like to swing by the Rybicki Cheese and Cheese Brothers shops and taste the free cheese samples as well. If it's cold out and you're okay with spending a fair amount of time window shopping, you could probably spend the whole day there; while I wouldn't consider it a full "authentic" experience of the area, it's decent enough and I really wouldn't blame you for wanting to avoid the cold. There's plenty of food options there as well; my favorite food court there being the new "Culinary on North" which has more fast casual chains versus fast food (the Shake Shack is there, as is Melt Shop and a number of others.)
Alternatively, for supper you could swing by
Afro Deli in downtown St. Paul. It was (if I remember correctly) founded by Somalian immigrants, and they've created delicious, approachable African food. There's a number of other options there as well. My wife loves the Afro Steak dinner, and she doesn't have a terribly adventurous palate (thus, at least to me, giving credence that their food is very approachable.) I've had it as well and also find it very tasty, although I also like to get the Chicken Fantastic.
I'm not sure what time you're leaving, but if you're there until late evening check to see if there's a show in town. Both Minneapolis and St. Paul have vibrant theater and arts scenes, and the
Saint Paul Chamber Orchestra often performs at the Ordway in downtown St. Paul, with tickets starting as low as $12/seat. They're a world-class orchestra and well worth going to if you enjoy orchestra performances (and, honestly, even if you're just not against classical music - there's something about seeing it live that really makes it pop for me, and they do an excellent job at performing their music.)
Let me know if you have any questions or would like any further suggestions!