Opened on 20 December 1985, it is located at the site where the old Tai Po Market railway station was built in 1913.

The Kowloon–Canton Railway (British Section) opened in 1910 in Tai Po Market was one of the stops in the New Territories.

Since then, it has acted as a centre of administration and trade, which indirectly boosted Tai Po Market's economy by bringing traders there.

The site, together with the buildings and relevant exhibits, were then given to Regional Council by the Kowloon-Canton Railway Corporation for the construction[clarification needed] of the museum.

A 1:1 scale model of a non-refurbished East Rail line Metro Cammell EMU was once on display at the Museum, but was removed to make space for locomotive #51.