What bridge?

My sister posted a link to this on facebook today:
https://m.facebook.com/lostedinburgh/photos/a.251802618210762.62536.162922127098812/691422717582081/

I have spent 50 of my 61 years in Edinburgh but somehow never knew about this footbridge so headed for Jeffrey St on the way to work to look for any evidence. The only signs it ever existed seem to be the remaining stone stanchions on Calton Rd, a section of blunt-headed railings on Jeffrey St and a difference in the section of the station roof running between them.