There was once a path — for both horses and pedestrians, apparently — that ran beside the Grand Central Parkway between Cunningham Park and Alley Pond Park. What you see above is an underpass built to carry the path beneath Union Turnpike. The path is now long gone, and this underpass was sealed off at some point (as was another beneath nearby Springfield Boulevard), but both ends of the underpass have since been broken open. In addition to what remains inside the underpass, some of the path's old railings can be found in the woods outside.
You can see the path in this 1951 aerial view running just to the northwest of the parkway. The underpass beneath Union Turnpike is visible in the middle of the image. For comparison's sake, here's a 2010 aerial view of the same area (with the roadways labeled).