Route to New York...proper terminology?

Yes, confusing as it is, there are TWO Penn Stations, one in New York City and one in Newark, New Jersey, and, just for the record, they are both so named because, back in the day when the trains were the primary means of travel in the USA, they serviced the trains of the "Pennsylvania Railroad."

And the Penn Station in New York City is in the "basement," so to speak, of Madison Square Garden.

Good luck, and the link below is to a map with directions, by train, from one Penn Station to the other...

I can help.

Yes, there are two Penn Stations: one in New York and one in Newark. Both serve both intercity trains operated by Amtrak and commuter trains operated by New Jersey Transit (NJT). The reason for the similarity in names is that both were built by the former Pennsylvania Railroad, which was shortened to "Penn".

When you arrive in New York, you will be in Penn Station. Madison Square Garden sits right on top of Penn Station!

MSG is across the street from what most people would call Penn Station (1 Penn Plaza - MSG is located at 4 Penn Plaza), so it would depend on which exit you use (there's one almost at the door to MSG). You'll be at 8th Avenue and West 33rd Street. (Avenues increase east to west, streets increase south to north. East streets are east of 5th Avenue, West streets [the same street] are west of 5th Avenue.)

There's one Penn Station in Newark and one in NYC.