Police cordoned off Castle Hill following the discovery outside the closed Dudley Hippodrome in the early hours of yesterday morning.
Police said they were not treating the death as suspicious.
Christopher Swann, duty manager at Station Hotel, which is opposite the bus stop, said: "It was a bit of a shock – you never think you will see something like that when you start work in the morning."
The road was closed at around 7am and reopened at 9.30am.
Pete Edney, spokesman for West Midlands Police, said: "Police were called to Castle Hill, Dudley just before 7am on Sunday, after a passerby discovered the body of a 46-year-old man inside a bus shelter."
The man has not yet been named.