Subway Construction: Park Row and City Hall Park, from street level, November 1902. Building with columns at right is the old Hall of Records, which sat in City Hall Park. mac_2453
Subway Construction: 42nd Street & Grand Central Station. High view, Looking West to 5th Avenue, May 1903. mac_2455
Subways: Entrance to City Hall station, looking southwest to Broadway. Post Office building at left, 1904. Photo by Pierre P. Pullis. mac_2525
Subways: General interior view of empty unidentified station, 1904. Photo by Pierre P. Pullis. mac_2531
Some of the early subway construction photos mentioned by Christopher Gray in his Streetscapes column of July 11, 2014 in the New York Times.
See more subway photos here.