I would like to take the TGV train from Paris to Dijon and rent a car in Dijon to drive to Beaune and the Burgundy area this fall. Would you be able to rent a car at this station and is driving from there a problem?
Yes, there are car rentals at the train station.
No, driving there is not a problem. Hope you give Dijon a bit of time. As the historical capital of the Duchy of Burgundy, it has many interesting and important things to visit.
You might look into renting in Beaune, if that is your starting destination and if that would save you a day of rental. E.g. instead of Train to Dijon, drive to Beaune, tour Beaune, drive about next day you might Train to Beaune, tour Beaune. Next day, rent car and drive about. There are also bicycles for rent in Beaune, a really wonderful way to see nearby sights in season. If so, maybe save another day's auto rental.