The 125th Street station was constructed for the Interborough Rapid Transit Company (IRT) as part of the city's first subway line, which was approved in 1900.

The platforms contain exits to Lenox Avenue's intersection with 125th Street and are not connected to each other within fare control.

[3]: 21  However, development of what would become the city's first subway line did not start until 1894, when the New York State Legislature passed the Rapid Transit Act.

It called for a subway line from New York City Hall in lower Manhattan to the Upper West Side, where two branches would lead north into the Bronx.

[3]: 148  The Rapid Transit Construction Company, organized by John B. McDonald and funded by August Belmont Jr., signed the initial Contract 1 with the Rapid Transit Commission in February 1900,[5] in which it would construct the subway and maintain a 50-year operating lease from the opening of the line.

[4]: 4  Belmont incorporated the Interborough Rapid Transit Company (IRT) in April 1902 to operate the subway.

[3]: 182 The 125th Street station was constructed as part of the IRT's East Side Branch (now the Lenox Avenue Line).

[5][6]: 252  The excavation was relatively easy because the subway was under one side of Lenox Avenue and there were no street railway tracks to work around.

[10] To address overcrowding, in 1909, the New York Public Service Commission proposed lengthening the platforms at stations along the original IRT subway.

[11]: 168  As part of a modification to the IRT's construction contracts made on January 18, 1910, the company was to lengthen station platforms to accommodate ten-car express and six-car local trains.

[18] The New York City Transit Authority (NYCTA) announced plans in 1956 to add fluorescent lights above the edges of the station's platforms.

[20] In November 1959, the Warshaw Construction Company received a contract to remove fifteen entrance/exit kiosks on IRT lines, including four at the 125th Street station.

[21] On May 23, 1968, poet Henry Dumas was fatally shot by a New York City Transit Police officer on the station's southbound platform.

[29] As part of its 2025–2029 Capital Program, the MTA has proposed making the station wheelchair-accessible in compliance with the Americans with Disabilities Act of 1990.