There are quite a few hotels near the railway station. The closest ones are on the JLB road. There are also a few on the Vinoba Road (Hunsur Road) a shot distance from the railway station.
Hotel Mayura Hoysala: This state owned ( KSTDC) hotel is probably the closest to the Mysore Railway Station. You can walk from railway station to this hotel. It's at the second junction (the first is right in front of the station) , on your left on the JLB road.
Hotel King's Kourt: This aptly named hotel for Mysore is located right after the Hotel Mayura Hoysala. In other words this hotel too is close to the railway station.
Sree Guru Residency: This is another mid range hotel close to railway station.This hotel is a few meters off the JLB road, though you can easily spot the arch of the hotel facing the JLB road. And that makes its ambiance a bit less noisy, compared to other hotels that are facing the busy JLB road.
Hotel Metropole: This is one of the few heritage hotels in Mysore. Originally this mansion like hotel was built by the Mysore royals to accommodate foreign guests to the palace. This is one of the closest hotels to the Mysore railway station. It is at the junction where the Vinobha Road meets JLB Road. With its old-world charm, the restaurant is popular for buffets.
Hotel Regaalis : This one among the top luxury hotels in Mysore (erstwhile Southern Star ) on the Vinobha Road just behind the Hotel Metropole. Though Regaalis is not a heritage hotel, it is located very much in the heritage heartland of Mysore city.
You may also check out the hotels near Mysore Palace.