Rare color footage of FDR visiting Pittsburgh on October 11, 1940. According to a PG article from October 8th, he was in town to dedicate the Terrace Village housing project in the Hill District. City and county workers were given a half-day off. The parade route went through Swissvale, Rankin, Homestead, West Homestead, and part of the South Side. Also apparently East Liberty (where his train arrived) and Penn Avenue downtown (from where it departed).
Also in that 10-minute silent clip is footage of Eleanor Roosevelt visiting Pittsburgh for a luncheon.
At the very beginning it looks as though FDR is manipulating his legs, perhaps loosening his braces after just getting into the car from the train?
Here's an October 11th article from the evening copy of the Pittsburgh Press. Lots of detail about the visit there (including the text of his speech).