Kingsbridge Armory in the Bronx, located on Kingsbridge Road at Jerome Avenue near the southeast corner of the Jerome Park Reservoir. Completed in 1917, it was one of the world's largest buildings at the time and to this day contains one of the world's largest enclosed spaces.

References:

1. Kingsbridge Armory, Living New Deal: “The WPA provided resources to conduct repairs at the Kingsbridge Armory (Eighth Regiment Armory) in the Bronx during the 1930s. The armory was then home to the 258th Field Artillery. WPA Official Project No. 65-97-378.”
2. Kingsbridge Armory (Eighth Regiment Armory): Landmark Designation, Landmarks Preservation Commission, No.2 LP-0823, 24 September 1974.
3. Kingsbridge Armory, Wikipedia.
4. A Peek Inside the World's Largest Armory, Scouting New York website.