The Selby Canal was opened in 1778 between Selby and Haddlesey. However, when the Aire and Calder canal opened to Goole in 1826, trade slipped away from Selby. George Stephenson initially surveyed a rail route in 1825, using horses and ropes. In 1829, James Walker published a 30.5 km (19 miles) route to end in a commodious station at Selby with six platforms, two for passengers and the rest for goods. Passengers and goods had to cross Ousegate for packet boats to travel to Hull or York - the importance of freight was such that within ten years of opening, the station became solely a freight warehouse, and all passenger traffic was diverted to what is now the current Selby station.

On a lintel on the building's exterior is the date 1841, which marks the bricking up of the passenger entrances to allow conversion into a shed given over entirely to freight. Some cargo could stand out in the open yard, but more valuable, perishable or taxable goods were brought into the shed to be kept under cover and behind locked doors. In the goods yard itself, there were many sidings, all now removed. A few disconnected rails remain in the tarmac and a couple of buffers stops are still in place.

The interior of the station is about the size of a football pitch, under a roof supported by oak beams and simple yet elegant cast iron columns. It is said that half of these columns are hollow to allow rain water from the roof to collect in an underfloor tank. This water would then have been used to supply the steam locomotives. At the end of the shed, on Ousegate, mighty timber doors, moved by equally mighty cast iron wheels would rumble open to allow wagons access to the river. Rail tracks were later laid across Ousegate to allow some wagons - possibly for delivering coal or stone - direct access to ships moored at a jetty.  The current gates are modern replicas. The station is Listed Grade II and is now used for warehousing.