B&M Eastern Route: Portsmouth, Newburyport, Salem, maybe Lynn, Amesbury had a 1-stall shed IIRC.
Western Route: Reading (in addition to South Lawrence, Haverhill, Dover)
NH Route: Wilmington had a building, don't know if it was an actual roundhouse. Middlesex (between Lowell and N. Chelmsford), Nashua, Manchester, Concord, Laconia (IIRC), Plymouth, Woodsville, West Lebanon.
Fitchburg: Ayer (long ago), E. Fitchburg, E. Deerfield, Troy, Mechanicville
Worcester, Nashua & Portland: Worcester (gone by WWII), Clinton, Rochester NH
Conn. River: Springfield (gone by WWII), No. Walpole NH. Claremont Jct. had a 3-stall shed.
And of course BET and the roundhouses by Lechmere and in Charlestown.
I may have missed a couple, haven't checked the BMRRHS Characteristics Charts reprint.