It was opened on the Nottingham direct line of the Midland Railway between London and Nottingham via Corby.The station was formerly named Saxelbye, the name was changed after only 3 months to avoid confusion with Saxby, a few miles east of Melton Mowbray, on the Midland's other line between Leicester and Peterborough.

The station was opened for goods (1 November 1879) [1] & passengers (2 February 1880) [1] by the Midland Railway.

The station was designed by the Midland Railway company architect John Holloway Sanders.

The line was built to allow the railway company's expresses between London and the North to avoid reversal at Nottingham.

Following the closure of the line as a through-route in 1968, the track between Melton Mowbray and Edwalton was converted for use as the Old Dalby Test Track, used initially for the Advanced Passenger Train project and, more recently, Class 390 Pendolino units.