The station is located on the busy Queensway tourist street and is only a few metres from Bayswater Road.

[10][11] Also nearby is Westbourne Grove, Queens ice rink and bowling centre, Kensington Gardens and St Sophia's Greek Orthodox Cathedral.

[8][12][13] Construction of the railway line, through the already developed Bayswater area required the excavation of a tunnel using the cut and cover method: a trench 42 feet (13 m) deep was excavated between brick retaining walls which was then roofed-over with brick arches to allow building work above.

A short section of the trench was left unroofed to the west of the station to allow smoke and steam from the trains to escape from the tunnels.

[15] In 1905, to improve the conditions in the tunnels and stations and increase service frequencies, the MR electrified the tracks through Bayswater and, in conjunction with the DR, around the whole of the Inner Circle and across most of their routes.

[12] Electric trains began running on 1 July 1905,[12] but the MR's poor coordination of the installation work with the DR led to disruption for several months.