Although only around 15 miles (24 km) long the line ran through three counties, the termini being in Essex (Great Chesterford) and Suffolk (Newmarket) and all intermediate stations being in Cambridgeshire.

Construction began on 30 September 1846 and at the ensuing celebrations a representative of the Jockey Club stated, "The Jockey Club feels that a railway from Newmarket will not only be a great convenience to the parties anxious to participate in the truly British sport of racing, but will enable Members of Parliament to superintend a race and run back to London in time for the same night's debate".

[1] During 1847 the company drew up plans for extensions to Bury St Edmunds, Thetford and Ely which were approved by a act of Parliament of June 1847.

If built it would offer a shorter route from London to Norwich so both companies were interested until 1848 when the ECR took over the working of the Norfolk Railway.

The N&CR was in financial trouble with its Cambridge branch started and no capital to complete it so on 2 October 1848, the board of directors made an operational agreement with George Hudson, chairman of the Eastern Counties Railway.

Photographs of Balsham Road and Bourne Bridge stations exist in the Rokeby collection at the English Heritage Archive, Swindon.