The Cannonball first ran in 1899 between Long Island City and Montauk, running express along the Main Line to Manorville, where its consist was split to also provide service to Greenport.

[3] Direct service from Manhattan began in 1911 after Penn Station was opened, and by 1934, the train permanently adopted its present-day route along the Montauk Branch.

The Cannonball was briefly eliminated in 1949 due to budget cuts, though was reinstated the following year and began operating with diesel locomotives.

[19][20] The Montauk-bound train ran nonstop between Long Island City and Westhampton, skipping Jamaica and all other intermediate stops as it does today.

[29] With the train's new routing, several stops were added to the Cannonball's run in response to requests from town officials, including Patchogue and Center Moriches.

[40] Additionally, the Cannonball – then the only evening train running east past Speonk – no longer made stops between Jamaica and Westhampton beginning in 1952, obliging Hamptons-bound travelers from intermediate communities to seek alternate means of transportation.

It cited low, predominantly non-commuter ridership, proximity to the Main Line (at least as far east as Riverhead), and potential savings of $450,000 per year, which included track maintenance costs to run trains such as the Cannonball.

[42][43] The Town of East Hampton protested this proposed closure, highlighting the potential for increased vehicular traffic due to lack of alternative means of travel.

During the subsequent revitalization of the railroad, new rolling stock was acquired, including air-conditioned coaches, to replace its decades-old predecessors.

[44][45] During the 1950s and 1960s, the name Cannonball also referred to the sole off-season express train between New York City and the Hamptons, which was also rumored to be threatened with service cuts.

[44] The Cannonball began utilizing new equipment acquired from Kansas City Southern Railway, and introduced advanced reservations for seats for an additional fee, in the late 1960s.

[50] Within the next few years, the railroad reinstated regular coach seating on the Cannonball, while continuing to provide parlor car service for an additional fee.

[53] Four seasonal Friday trains, including the Cannonball, continued operating with parlor cars – which were growing in popularity – alongside regular coaches through the 1990s.

[55] The new rolling stock did not include any bar cars; some riders felt this had eliminated the party scene common aboard the train in previous years.

[54][59][60] The western terminus of the Cannonball was changed from Hunterspoint Avenue to Penn Station, with the train utilizing dual-mode DM30AC locomotives, beginning in summer 2013.

MTA officials expressed that Penn Station was better equipped to handle large crowds, in contrast to Hunterspoint Avenue and Jamaica, an issue that customers had also reported.

[6] The schedule change also brought about a substantial fare increase, however, as its departure time was adjusted to be within the peak pricing period during the afternoon rush hour.

MTA officials believed that 20–30% of Hamptons Reserve seats were unfilled because they were part of multiple-seat bookings by the same customers – "seat hoarding" – which resulted in lost revenue for the MTA and greater difficulty (e.g., longer waitlists) for customers seeking to make reservations aboard the train.

[64][65] In 2015, the Federal Railroad Administration investigated concerns of safety due to crowding aboard the Cannonball; some runs of the train were reported to be filled at almost 150% capacity in the non-reserved section.

[66][67] The LIRR responded to these concerns by imposing new restrictions on oversized luggage, effective beginning with the train's run on August 21.

The middle level is used for boarding and alighting – as all LIRR stations have high-level platforms – and offers ADA-accessible seating; odd-numbered cars are also equipped with a lavatory.

[77]: 42 Unlike regular Montauk Branch trains, the eastbound Cannonball does not make any intermediate stops between Penn Station and the Hamptons.

Similarly, the Cannonball West, which makes no intermediate stops between Westhampton and Jamaica, has an end-to-end travel time of 2 hours, 51 minutes.

These travel times are over 30 minutes shorter than those of some trains that operate year-round and make local stops west of Westhampton.