Hay had one of the earliest railway stations in the country, being part of a horse-drawn tramway.

The line was opened from Hay to Clifford Castle on 30 July 1817.

The line was not completed between The Lakes at Clifford and Eardisley until 1 December 1818 because of the problem of the river crossing at Whitney-on-Wye.

The Golden Valley Railway, which had its northern junction at Hay and ran through the Golden Valley to Pontrilas, was built between 1876 and 1889, was closed down in 1898, and then rescued by the Great Western Railway in 1901.

The whole of the Hereford to Brecon line including Hay was closed on 31 December 1962 and completely dismantled by 1963.