Why is not I am walking to the station?
In that case it would be "İstasyona yürüyorum". Here this means that he starts walking at the train station towards some where else.
Why is it from and not to?
Why written as istasyondan but not istasiondan, I cannot explain the pronounce of y in Turkish, as a soft g or just as short ee
I think in english it is called a bus depot, but colloquially it is also called a station.
"İstasyon" does not mean "station", it means the "train station". You never use it for a bus station.
However, if you stay "station" in English, almost no one assumes a bus station and most people assume "train" by default. Technically speaking, a train station is a "gar" in Turkish as well.