The Northern & Eastern Railway was formed with the intention of building a railway line from London to York by way of Cambridge. In 1835 Saffron Walden was surveyed as part of the London to Cambridge railway line and hopes for its future prosperity were raised. Unfortunately the intervention of the local land owner, Lord Braybrooke, made the siting of a station in Saffron Walden impossible. In 1836 parliamentary powers were obtained to build, but only as far as Cambridge. Due to a shortage of funds, the work only reached Newport, a few miles down the line from Audley End.

It was the Eastern Counties Railway which took over the concession and reached Cambridge and Ely in 1845. In that year Audley End station - 3 knm from Saffron Walden - was opened as Wenden' after the village in which it is located, Wendens Ambo. The name was changed in 1848 in deference toLord Braybrooke, who lived at Audley End House.

The nicely proportioned building has an elegant porte corchere built at the front to receive his lordship's carriages. A hotel, the Neville Arms, was opened in the same year, adjacent to the station yard, with stables and one bedroom.

In 1864 the station became the junction for a branch built to Saffron Walden. The small waiting room on the branch platform survives surrounded by parked cars.

The main building was designed by Francis Thompson and Sancton Wood. North of the station is the Audley End tunnel, 456 yards long, while 352 yards further north is Littlebury tunnel, 407 yards long. Both were built at the insistence of Lord Braybrooke to avoid disturbance of his estate. Both have highly ornamental south portals, probably by Sancton Wood.

The station is still in operation. (See also entries for Chester Station and Holywell Junction Station).