In 1848, the Wilts, Somerset and Weymouth Railway Company opened their line southward from Thingley Junction near Chippenham, at first only as far as Westbury.

Although most sources give a slightly later date of 1861, recent research has found that a single interchange island platform was reported at the junction from 1857: this allowed passengers to transfer between main and branch line trains.

[1]: 102 In 1862, the GWR extended its Reading-Hungerford line westward via Pewsey to Devizes, creating a through route from the South West to London Paddington.

In 1909, a large covered loading bay for milk was built to the west of the station; this remained in use until the factory gained a direct rail connection in 1934.

The reopening of Melksham station in 1985 saw the resumption of regular passenger services between Swindon and Westbury on the Thingley-Bradford Junction route.