In 1936 street level buildings were reconstructed with a shopping arcade, and in 1948, further work took place in preparation for the Olympic Games at Wembley Stadium.

The station was renamed again on 5 July 1948, this time to "Wembley Central", the name that is still in use.

Wembley Central has the appearance of an underground station due to the elevated position of the High Road (where the main entrance was until recently behind a 1940s shopping arcade) and the enclosed nature of the platforms below the raft upon which Station Square is built; it is actually generally at or above the local ground level, having been reconstructed by British Rail in its current form during the 1960s electrification of the West Coast Main Line.

[citation needed] The station was modernised in 2006 by Silverlink with additional safety features.

[12] The passenger footbridge at the London end of the station, completed in late 2006 by civil engineers C Spencer Ltd, carries extra foot traffic to and from the platforms during event days at the nearby Wembley Stadium; the everyday access is at the "country" end of the platforms.

The station's staff received refurbished messing facilities and new public toilets have also been installed.