New York City mayor John Francis Hylan's original plans for the Independent Subway System (IND), proposed in 1922, included building over 100 miles (160 km) of new lines and taking over nearly 100 miles (160 km) of existing lines.

[4][5] On December 9, 1924, the New York City Board of Transportation (BOT) gave preliminary approval to the construction of a subway line along Eighth Avenue, running from 207th Street.

[7] Most of the Eighth Avenue Line was dug using a cheap cut-and-cover method, including 34th Street–Penn Station.

[8][9] During the station's construction, workers found remnants of an old stream that had originated at Herald Square and flowed through the area.

[9][10] The stream was diverted into a sewer, and concrete waterproofing was installed below the 34th Street station's mezzanine.

[13] A preview event for the new subway was hosted on September 8, 1932, two days before the official opening.

[14][15] The Eighth Avenue Line station opened on September 10, 1932, as part of the city-operated IND's initial segment, the Eighth Avenue Line between Chambers Street and 207th Street.

[32]: 70  Below the red band are small tile captions reading "34" in stretched Arial font, though these are not original to the station.

Red I-beam columns run along all the platforms at regular intervals, alternating ones having the standard black station name plate with white lettering.

There is also a passageway providing out-of-system access to the station of the same name on the IRT Broadway–Seventh Avenue Line.

[33] There was a tunnel linking to the New Yorker Hotel at the northwest corner of the intersection, which opened in 1930[34] and was closed by the 1960s;[35] it later became a storage area.

The northbound local platform's fare control leads to a street stair to the northeast corner of 33rd Street and Eighth Avenue, as well as a direct passageway to the basement of Penn Station/Madison Square Garden.

The southbound local platform's fare control leads to a street stair to the northwest corner of 33rd Street and Eighth Avenue, as well as a double-wide granite staircase at the southwest corner (in a plaza outside the James A. Farley Post Office Building).

[33] A passageway connects the Eighth Avenue Line station with the Moynihan Train Hall, which opened in 2021.