The first section of the Great Northern Railway (GNR) - that from Louth to a junction with the Manchester, Sheffield and Lincolnshire Railway at Grimsby - opened on 1 March 1848, but the southern section of the main line, between Maiden Lane and Peterborough, was not opened until August 1850.

[1][2][3] The Sandy and Potton Railway was opened for goods traffic on 23 June 1857, and to passengers on 9 November 1857.

The eastern section of the Bedford-Cambridge route (sometimes known as the Varsity Line) closed on 1 January 1968, and with it, the ex-LNWR platforms at Sandy.

In the later half of 2016, modern ticket barriers were installed at the entrance to both platforms along with a covered area to protect them from wind and rain damage.

The station has two modern touch screen ticket machines located in front of the booking office, and there are cycle storage facilities to the south of it.

[7] In late January 2020, East West Rail Ltd announced that the route of EWR between Bedford and Cambridge would be 'in the Tempsford area', mid way between Sandy and St Neots.

[9] In the chainage notation traditionally used on the railways, it is 44 miles 10 chains (71.01 km; 44.13 mi) from London King's Cross.