Kirkby Stephen East (KSE) station is located at the southern end of the town adjacent to the infilled bridge which previously carried the A685 road across the railway. It was built in 1860-61 at the joint expense of the two railway companies which met at this point - the South Durham and Lancashire Union (which ran from Spring Gardens Junction, through Barnard Castle and over the Pennines to Tebay on the West Coast Mainline) and the Eden Valley (which ran from KSE through Appleby to Clifton Junction, south of Penrith, on the West Coast Mainline).

The engineer for both of these railways was Sir Thomas Bouch, best known for his ill-fated bridge across the Firth of Tay. However, his wonderful wrought and cast-iron bridge which spanned the Belah Gorge, just north-east of Kirkby Stephen, was objectively one of Britain's most imposing railway bridges until it was tragically destroyed in 1963. A little known Edinburgh architect, Hector Heatley Orrock, to design the fine detail.

In 1862, both railways became part of the Stockton and Darlington Railway (S&D) and, the following year, the S&D itself became part of the North Eastern Railway (NER). From the very early days of train operation, there were problems with limited clearance into the building and, as a result, substantial alterations were made in 1883-4. Hector Orrock had died and the work was to the design of the NER's architect, William Bell. From this point, few further changes were made by the NER or its successor, the London and North Eastern Railway, although the nationalised British Railways removed the roof covering the Tebay/Penrith trainshed in the 1950's.

Bouch conceived the station layout as an interchange station between the two railways, consisting of an island platform with access from the road bridge. An office range ran down the centre of the platform and this was flanked by a pair of trainsheds, each covering a single track. Each trainshed roof spanned between the office range and a line of cast iron columns and spandrel panels, while its trusses were a composite timber and wrought iron variant of the 'Euston' truss.

William Bell replaced the Orrock/Bouch trainsheds with a slightly larger design which gave improved clearance for passenger carriages. This is now the sole surviving Bell trainshed. Although the locomotive sheds sited near the station have been demolished, significant railway buildings survive, including the original Goods Shed, a horsekeeper's house and Stenkrith House, a mildly Gothic villa which housed the railway's Locomotive Inspector.

The station was closed on 22 January 1962, but is currently being restored with a short section of track relayed by the Stainmore Railway Company.