Hertz. Amtrak partners with them and they're typically the only agencies inside the actual stations.

There are other major companies within a few blocks of the station Downtown though, so you can have your pick. Pay attention to the business hours though as many close early or open late, especially on weekends.

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To rent a car from Hertz at the Abq Amtrak station you have to take a cab to the airport, which you will be reimbursed for by Hertz when you rent your car. Enterprise is close to the Amtrak Station at the Hyatt, about 3 blocks.