The original station building designed by Leslie Green was located on Brompton Road a short distance west of its junction with Knightsbridge and Sloane Street.

This contrasted with the next station on the line westward — Brompton Road — where passenger numbers were so low that from soon after its opening many trains were timetabled not to stop there.

In the early 1930s, the availability of government grants to stimulate the depressed economy enabled the Underground Group to carry out a major modernisation programme, during which many central London stations were brought up to date with escalators to replace the original lifts.

The Brompton Road building was subsequently demolished, but the rear entrance at the corner of Basil Street and Hoopers Court remains, although converted for use as offices.

To ease congestion, it was also decided to provide an additional entrance to the western end of the platforms closer to Harrods.

A separate ticket hall was provided for the western escalators which is accessed by a long subway from the surface entrance at the corner of Hans Crescent.

The opening scene of the 1997 film version of Henry James's The Wings of the Dove was set on the east-bound platforms at both Dover Street and Knightsbridge stations, both represented by the same studio mock-up, complete with a working recreation of a 1906 Stock train.