About damn time!
The STRIKE team brings Steve, Sam and Natasha to a city alley/tunnel to be killed but they manage to escape. They make their way to the base of a local dam, where Nick Fury is revealed to be alive, and has setup a hiding spot.
Both sequences were shot at the same location, the dam inside the Lakeview Cemetery. According to Cinefex #138, the alleyway sequence was originally shot on a “paved road crossing a small canal.” The effects team added the alleyway imagery into the shot after the fact.
(Captain America: The Winter Soldier, 2014)