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There are lots of places we can archaeologically and geographically determine where Jesus was. Many of these places are indoors. If you are interested in this subject, I highly recommend Jack Finegan's Archeology of the New Testament: The Life of Jesus and the Beginning of the Early Church.
To wet your appetite, here's a visual depiction of ancient Capernaum and an aerial view of what's left of its synagogue that Jesus taught in.
This is a visual reconstruction of ancient Capernaum. The large building on the left is the synagogue we know Jesus taught in.
These are the remains of the synagogue in Capernaum. You can visit here today easily.
Sources:
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It is easy to suggest that Jesus preached inside a building when he was at the Temple or at the Synagogue. The fact is however that many of these locations had courtyards where men were gathered so the idea that Jesus preached inside a building because he was at the Temple or the Synagogue can not be proven.
The only examples that I have found where Jesus preached inside a building is when he taught in the home of the 1st Pope, Simone Peter. We know that followers lowered a crippled man through the roof, which suggests walls, which suggests Christ was teaching from within a building. It is not known where Peters home was.
There is also the upper room, where the passover was held and the New Covenant was proclaimed in the Eucharistic Celebration. This location we actually can find on a map. It is very possible that it took place at is what is know know as Monastery of Saint Mark, Jerusalem.
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Quick answer, yes. Example is found in Luke 5:17, when Jesus was teaching in a house or building of some sort, and a paralytic was lowered through the roof to see him, because of the crowd, and Jesus commanded this man to take up his bed and walk, and he was healed.
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It was the custom of Jesus to go to a house of worship each Sabbath Day and in some instances teach. One of these times was recorded in Luke 4:
16 So He came to Nazareth, where He had been brought up. And as His custom was, He went into the synagogue on the Sabbath day, and stood up to read. 17 And He was handed the book of the prophet Isaiah. And when He had opened the book, He found the place where it was written:
18 “The Spirit of the Lord is upon Me, Because He has anointed Me To preach the gospel to the poor; He has sent Me to heal the brokenhearted,[j] To proclaim liberty to the captives And recovery of sight to the blind, To set at liberty those who are oppressed; 19 To proclaim the acceptable year of the Lord.”[k] 20 Then He closed the book, and gave it back to the attendant and sat down. And the eyes of all who were in the synagogue were fixed on Him. 21 And He began to say to them, “Today this Scripture is fulfilled in your hearing.” 22 So all bore witness to Him, and marveled at the gracious words which proceeded out of His mouth. And they said, “Is this not Joseph’s son?”
As a boy, Jesus visited the Temple in Jerusalem, and left the scholars amazed:
41 His parents went to Jerusalem every year at the Feast of the Passover. 42 And when He was twelve years old, they went up to Jerusalem according to the custom of the feast. 43 When they had finished the days, as they returned, the Boy Jesus lingered behind in Jerusalem. And Joseph and His mother[a] did not know it; 44 but supposing Him to have been in the company, they went a day’s journey, and sought Him among their relatives and acquaintances. 45 So when they did not find Him, they returned to Jerusalem, seeking Him. 46 Now so it was that after three days they found Him in the temple, sitting in the midst of the teachers, both listening to them and asking them questions. 47 And all who heard Him were astonished at His understanding and answers. 48 So when they saw Him, they were amazed; and His mother said to Him, “Son, why have You done this to us? Look, Your father and I have sought You anxiously.”
Luke 2:41-48
There were several more times, including two separate times where He cleansed the Temple and then spoke to those at the Temple. He also healed people during this time.