Despite being in Leicestershire and closest to Caldecott, it was named after the village of Rockingham, Northamptonshire, which although one mile distant and smaller than Caldecott, was named because of the proximity location to Rockingham Castle.
In 1873 the line was doubled and became part of a new Rugby to Peterborough East route.
At grouping in 1923 it became part of the London Midland and Scottish Railway.
The Castle Inn, public house in the vicinity, has photographs of the station showing it during usage.
This article on a railway station in the East Midlands is a stub.