Construction began in August 1856 and lasted five years, finally completed in 1863,[3] when the line was connected to the South Wales Railway at Johnston, and a station at Milford was opened.

It connected with a pier, which was reached via a lifting bridge at Castle Pill; the junction with the Milford line opposite the station.

[5] The original station was modest, with four sidings and a single platform, plus additional run around facilities sandwiched between the hillside and Hubberston Pill.

By 1923 the Milford Station Master was re-graded as a special class post, supported by twelve booking clerks and up to ten porters.

[10] A scheme to expand the freight capability at Milford Haven is under development, based on a new import facility for biomass and wood pellets for the energy market in England and Wales.

[13] In September 2019, MP for Preseli Pembrokeshire Stephen Crabb called on politicians and Network Rail to upgrade Milford station, citing a lack of suitable facilities.

The usual service pattern is one train every two hours to Manchester Piccadilly via Carmarthen, Swansea, Bridgend, Cardiff Central, Hereford, Shrewsbury, Crewe and Stockport.

[16] Until July 1994, British Rail ran a daily train from London Paddington through to Milford Haven via Reading, Bristol Parkway, Cardiff Central, Swansea, Whitland and Haverfordwest, usually operated by an InterCity 125.

A daily service operated between Milford and London Waterloo via Whitland, Swansea, Cardiff Central, Bristol Temple Meads, Bath Spa, Bradford-on-Avon, Basingstoke and Clapham Junction.

Before September 2002 it was also not uncommon to see Virgin CrossCountry trains operating from Milford Haven to stations in the north and Scotland, usually Edinburgh and Glasgow via Swansea, Cardiff Central, Bristol Parkway, Cheltenham Spa, Birmingham New Street, Leeds, York, Newcastle and Edinburgh, Glasgow bound trains continued via Haymarket and Motherwell.

Occasionally services ran from Milford Haven as far north as Aberdeen on the same route as the Edinburgh bound train, then continuing via Haymarket, Inverkeithing, Perth, Dundee, Arbroath and Montrose.