This camp was where I was trained.
Steve and Natasha arrive at the address given by the thumb drive, which turns out to be Steve’s old Army training grounds, Camp Lehigh. They discover a secret bunker which leads them on their next steps.
The stand in for Camp Lehigh in this film is the Camp Ravenna Joint Military Training Center, just outside Windham, OH (now known as Camp James A. Garfield).
Camp Lehigh – Secret SHIELD Facility
Underneath Camp Lehigh, is a secret SHIELD facility, potentially the very first offices. From there Steve and Natasha discover yet another secret room, full of old computer equipment.
According to an LA Times article, filming took place in the basement of this Sears store. Some of the columns in the interior photos on Google resemble the columns seen in this sequence. So I am making my best guess that filming of this scene was done at this location.
(Captain America: The Winter Soldier, 2014)