The station was built in the early part of 1902 by the Yorkshire Dales Railway for the Midland Railway. The line diverged from Embsay Junction, up through the Dales, with a stopping station at Rylstone, past the then 'Swinden Lime Works' - today known as Swinden Quarry, and then a further 3 miles to Threshfield Station. The line was built to provide better links for local villages to the nearby town of Skipton. There were other proposals to continue the line further up the Dales. It would continue north to Kettlewell and the to Leyburn and would join with the station at Hawes on the Wensleydale Railway. The station had two platforms with run-round loops for each platform, a goods shed with its own siding and a cattle dock with its own siding. A single track route went off over towards Skierthorns Quarry but only went as far as the rear of a set of terraced houses known as Woodlands Terrace. Here the stone was brought down from the quarry by a means of a tramway. It then was brought to Woodlands Terrace where it was unloaded and transferred onto the stone trains.
Embsay Junction was built to take trains from Skipton to Rylstone Station and Threshfield Station. This was single track only as it did not have many trains going to it.
The other direction was the Skipton to Ilkley Line across the Dales, with stopping stations at Embsay, Bolton Abbey, Addingham and finally ending up at Ilkley. The line was double-tracked to hold the number of trains going along it.