The station opened with the London and Birmingham Railway branch from Blisworth to Peterborough in 1845. Being located on the Great North Road, it was for a few years the railhead for Grantham, Lincoln, etc, which at this time were not served by any railway lines. The branch line from Wansford to Stamford opened in 1867. The route to Rugby became available when the LNWR built a line from Yarwell Junction, west of Wansford tunnel, to their existing 1850 Rugby to Stamford line at Seaton. At the same time, the Great Northern began a service from Peterborough North to Leicester Belgrave Road via Wansford, Seaton and the newly opened Great Northern and London and North Western Joint Railway in east Leicestershire.

The Leicester trains were stopped as a war economy in 1916. The Stamford branch closed in 1929, having never properly recovered from the 1926 general strike. Northampton services ceased in 1964, and Rugby services in 1966, when Wansford station was closed. The Rugby line remained open for freight as far as the sand and gravel quarries at Nassington. When these stopped, the line closed but the track remained in situ, and the line was later reopened as the Nene Valley Railway, a heritage railway.

The station building was designed by J. Livock and is one of only a few of his buildings surviving. It is a delicate Jacobean design in the local Ketton stone. A Grade 2 Listed Building and in need of repair, it stands beside Platform 3 of the Nene Valley Railway but does not belong to the railway. A new NVR station was erected in 1995.