The New Street to Moor Street walk is an interesting one. I guess it really depends on which exit from New Street you use. If you go out of the "main" doors by the taxi rank then it should be fairly easy unless you get sidetracked by gawping at the Bullring. If you go up the escalators or out onto Stephenson Street it might be a but more of a challenge.
Conversely, Moor Street to New Street is a doddle as you can see the big tunnel you need to walk through as soon as you leave Moor Street station. There is currently a lot of work going on at the front of Moor Street, I think the council are improving access to the station frontage for taxis and I do hope that putting back the double red lines for pedestrians to follow is a part of that works. But I doubt it. (if you don't know the area, there is a strange dual carriageway at the front of Moor Street, it's all one way but has a central reservation which is very pedestrian friendly. Problem is if you are a vehicle coming from New Street or Smallbrook Queensway/the A38 inner ring road as a lot of public transport tends to do then getting access to Moor Street station itself is a problem)
If you are a vehicle coming from Smallbrook queensway you are breaking the law as it's buses and taxis only.
They are turning Moor St Qwy back into a two-way street.
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If you stand in the right spot at the front of Moor Street or New Street you can clearly glimpse one station from the other, they're that close. But when the Bullring was rebuilt the opportunity for a decent link, rather than a gloomy bit of road tunnel under the shops, seems to have escaped the minds of planners probably still fascinated by the shiny alien blob that is Selfridges.
When you cross Smallbrook Queensway in front of the station now there are signs which give you the option of walking through the tunnel or through the Bullring.
I've noticed recently they have added a lot more overhead signs inside the Pallasades to direct people down the escalators.
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Better signed than the Southeastern High Speed lines but I understand your point. a shame they couldn't have added St Pancras as an additional calling point to Kings X Thameslink.
I get lost trying to find the entrance to St Pancras from Euston Road, I usually end up going through an entrance to the Underground.
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I've only ever had to change at Retford but the connection was a long one and it appeared to me that the station was in a middle-of-nowhere part of town. Likewise Grantham is a bit awkward finding the town centre from the station so must be the other way.
Neither of Canterbury's stations are within the city walls.
I've been asked for directions to the station in Wolverhampton as it's outside the ring road, but for those arriving there's only one direction you can go.
Coventry station can be hard to find. Last time I was there they were replacing the paving on the main walking route into the city centre from the station which was previously marked by a painted blue line. I hope they repainted it.