The North Yorkshire Moors Railway was first opened in 1836 as the Whitby and Pickering Railway. The railway was planned in 1831 by George Stephenson as a means of opening up trade routes inland from the then important seaport of Whitby.

The initial railway was designed and built to be used by horse-drawn carriages. Construction was carried out by navvies and coordinated by top engineers. Their three main achievements were cutting a 120 yard tunnel through rock at Grosmont, constructing a rope-worked incline system at Beck Hole and traversing the marshy and deep Fen Bog using a bed of timber and sheep fleeces. The tunnel is believed to be one of the oldest railway tunnels in the world. In its first year of operation, the railway carried 10,000 tons of stone from Grosmont to Whitby, as well as 6,000 passengers, who paid a fare of 1 shilling to sit on the roof of a coach, or 1 shilling and 3 pence to sit inside. It took two and a half hours to travel from Whitby to Pickering.

In 1845, the railway was acquired by the York and North Midland Railway who re-engineered the line to allow the use of steam locomotives. They also constructed the permanent stations and other structures along the line which still remain today. The Beck Hole Incline was re-equipped with a steam powered stationary engine and iron rope. They also added the line south from Pickering so that the line had a connection to York and London.

In 1854 the York and North Midland Railway became part of the North Eastern Railway. Steam locomotives could not operate on the Beck Hole incline; so in the early 1860s the North Eastern Railway started construction of an alternate route which opened in 1865 - this is the route which is still in use today. The original route is now a pleasant walk named the Historic Rail Trail.

The station at Grosmont stems from the time when the York & North Midland took over the railway and it was their architect, G.T. Andrews, who designed it. The result is a handsome two storey stone building, with mullion windows, clustered chimneys, decorated barge boards, a bay window and an ornamental clock. It has been a junction station since 1865 when the North Eastern Railway built a branch from Middlesbrough.

Also at Grosmont are George Stephenson's original 1836 tunnel referred to above and a segmental arched bridge built over the river Murk Esk in 1847. Both are Grade II Listed Buildings.