Avenue Diner is located on Stephen Avenue Walk, Calgary's historical main street in the heart of downtown. It runs along Eighth Avenue S.W. from First Street S.E. to Fourth Street S.W.

Stephen Avenue Walk is downtown Calgary's business and retail hub. It is home to:

Sixty thousand people during the lunch hour in the summer, live performances, buskers, music, festivals, artists and more.nine major shopping centres and department stores, busy markets, some of Calgary's finest restaurants, pubs, cafes and bars as well as unique boutiques, museums and galleries.

Named after the first Canadian Pacific Railway president, Lord George Mount Stephen, Stephen Avenue Walk was officially declared a Canadian historic site in 2002 by Federal Heritage Minister, Sheila Copps.