The Enigma Machine in Wolfenstein 2 The New Colossus is found in the hub area “Evas Hammer” (“Hammerfaust” in German version) that you visit between main missions.
It’s a chair that you can sit in. It’s in the same room as the command console where you select levels for replay.
Enigma Machine Location
Enigmas can be looted from Commanders. These show up frequently throughout the game and in post-story free roam (they are the guys that cause alarms when you get spotted). You can trade these Enigmas at the Enigma Machine in order to decipher the locations of Übercommanders (who hold Übercommander Death Cards). Some locations take only 2-3 enigmas to decipher and some 6-7.
How to Decipher Enigmas
Sit in the chair shown above and select an Übercommander you want to track down. Then you will see some dots in the top row and some in the bottom row. The top row shows the codes you must match in the bottom row. Use the left / right stick to match the codes shown in the top row. You must do this to all 7 codes shown in the top row, starting with the one in the top left corner. The screenshot below displays a correct solution. When you’ve matched the symbols press 
/ 
to enter the solution. If time runs out you lose enigmas! However, if you know you can’t finish in time simply press 
/ 
to back out and try again (this way it doesn’t cost enigmas). You can also make a manual save beforehand. After deciphering the enigma, interact with the console in the middle of the room to travel to the location of the Übercommander. Once in that area, run around until you see the commander icon/distance at the top of the screen. Kill the commander and loot his death card, then you get a prompt to return to the hub area.
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