This cave in Kentucky might have been used as a hiding place along the "underground railroad".

http://www.usatoday.com/story/news/nation/2013/02/03/underground-railroad-kentucky-cave/1888983/

That is still disputed and unproven, however.

This tunnel under the Munro House Inn in Jonesville, Michigan was supposedly used to shelter travelers on the Underground Railway.

http://www.google.com/imgres?q=Underground%20portions%20of%20the%20underground%20railroad&sa=X&nord=1&rlz=1W1MXGB_enUS512&biw=1035&bih=465&tbm=isch&tbnid=CVXwwvqvO6k5kM%3A&imgrefurl=http%3A%2F%2Fwww.nbcnews.com%2Fid%2F41277653%2F&docid=e9rnjUpJUcSG2M&imgurl=http%3A%2F%2Fmedia1.s-nbcnews.com%2Fj%2FMSNBC%2FComponents%2FPhoto%2F_new%2F110126-munro-house2-hmed.grid-8x2.jpg&w=640&h=495&ei=_3DtUqiAMsekyQH0z4GQCw&zoom=1&iact=rc&dur=4021&page=3&start=23&ndsp=13&ved=0CK4BEIQcMBs

This pit under the Old Bethel African Methodist Episcopal Church in Reading, Pennsylvania, was a hiding place for escapees on the Underground Railroad.

http://readingeagle.com/article/20131225/BERKSCOUNTRY/312259958#.Uu1zaKSYYcA

This bricked up tunnel in the cellar of the house of abolitionist Robert Fee of Moscow, Ohio, is thought to have been a hiding place along the Underground Railroad.

http://enquirer.com/editions/1999/12/09/loc_clermont_discovers.html

This website lists some inns and B&Bs in New England and New York thought to have had connections to the Underground Railroad. Some of them seem to have had cellar hiding places or secret passages.

http://www.examiner.com/article/inns-with-ties-to-the-underground-railroad-part-i

The Mansion of William C. Goodridge, one of the richest ex slaves turned business men in the pre-civil war USA, in York County Pennsylvania, has a trap door to a cellar room said to have been a refuge on the Underground Railroad. Goodridge was freed by his owner (perhaps his father) when he was 16. He became a barber in Pennsylvania, but was entrepreneurial, and expanded into retail. Eventually he had a rail freight shipping business, owning 13 rail cars, used to carry freight between York and 20 other cities. These rail cars are also thought to have carried escapees on the Underground Railroad (and may have been the only "Railroad" part of the Underground Railroad).

http://www.yorkblog.com/yorktownsquare/2009/02/26/081408-daily-record/

http://goodridgefreedomhouse.org/html/william_goodgridge.html

Despite these underground features thought to have been part of the Underground Railroad (some more credibly than others), not much of the "Underground Railroad" was literally "Underground", and not much of it was literally accomplished by "Railroad". Goodridge's house in York County Pennsylvania may be the only part of the Underground Railroad which had both an underground and a railroad connection.