The current station building was built in 1911 for the New York Central & Hudson River Railroad (NYC) in the Beaux-Arts style.

It was meant to be a smaller version of Grand Central; Guastavino tiles are featured prominently in both stations.

Penn Central continued operating commuter travel until 1976, when it was taken over by Conrail, which in turn transferred the service to Metro-North in 1983.

Intercity service returned to Yonkers in 1989 after a two-decade absence in an effort to revitalize the Saw Mill riverfront.

Amtrak's Berkshire Flyer began running on July 8, 2022, providing direct service to Pittsfield on summer weekends.