Construction of the Pelham Train Station commenced in 1895, replacing an earlier station building that stood near Wolfs Lane. The train tracks at that time ran at grade through Pelham. It was not until 1902 that the tracks were elevated to cross above Highbrook Avenue to the east of the station and above Wolfs Lane to the west. Putting the tracks above grade required raising the elevation of the tracks into Pelham Heights along First Street, which created a stir among local residents. (Mary Anthony (nee Robbins) recalled her mother, a resident of Cliff Avenue, being very upset that in raising the tracks, the railroad plowed under a long hedge of old-fashioned roses that were planted along the original tracks when the train line was originally built.) In 1972, the train platform was raised together with substantial renovation of the station building.

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