I've never done it but I've been told several times by Amtrak train crew members on Empire Service trains that they DO sell tickets from Penn Station to Yonkers, Croton-Harmon and Poughkeepsie.
The last time I rode I was half-commuting and half-railfanning. It was a gorgeous Fall Saturday afternoon. I was working in Manhattan at 34th Street and Madison. I thought why not?
I left work a little early went to NYP and bought a one-way to Rhinecliff but when the conductor picked up my ticket I told him I was getting off at Poughkeepsie. He said to me, "You can buy a ticket to Poughkeepsie." I asked did he mean from Penn Station, and he said yes. I said I didn't think they would do that. He said yes they will.
A conductor collected Rhinecliff-Penn Station tickets from two friends of mine who boarded at Yonkers. Same thing. The conductor told him they could buy Yonkers-Penn Station tickets. They said they didn't think they could do that. The conductor said, well you can. (You can't buy them on the train.)
You can do it on-line anyway. NYP-Yonkers for as "little" as $16.00.
To Poughkeepsie for as little as $25.00
QUICK EDIT - Since I know someone will ask. Metro-North charges-
GCT- Yonkers is $7.00 off-peak.
GCT - Poughkeepsie is $13.75 off-peak