The town of Saltburn was the creation of some of the directors of the Stockton & Darlington Railway, led by Henry Pease. The railway also contributed and funded some speculative house building.

The station was opened by the Stockton and Darlington Railway as the terminus of their line from Redcar on 17 August 1861. Eleven years later, the North Eastern Railway opened a line towards Brotton (the Whitby Redcar and Middlesbrough Union Railway) from the town, but this diverged from the original route some 400 m west of the station in order to avoid excessively steep gradients further east. This meant the passenger trains from the town to Loftus and Whitby that started in 1875 had to reverse into and out of the terminus before regaining the correct direction at Saltburn West Junction.

In its heyday, the station had four platforms and a large number of carriage sidings to handle the large number of excursion trains that ran there - these included services from as far away as Leeds and Blackpool. There was also a short extension (approximately 270 m) to another platform at the rear of the railway-owned Zetland Hotel where passengers in first class carriages could disembark directly into their accommodation.

William Peacey's station building was in pale yellow brick and was single storey. Its chief virtue was an extremely fine porte cochere in the form of triple arches. It was completed in 1862.

The Zetland Hotel next door, an impressive three storey edifice, was also designed by Peachey and was completed in 1863. Placed behind a balustrade on a podium it was a grand sight. It was characterised by a bow fronted entrance topped by a round tower.

The hotel is now split up into apartments, and the station is a retail park , but both have been sympathetically conserved. Both are listed Grade II. (See also Saltburn Cliff Railway)