The station was originally opened by the London and South Western Railway (LSWR) as Okehampton Road when it formed the terminus and it was renamed as Belstone Corner when the line was extended to Okehampton in 1867, and later renamed again as Sampford Courtenay. Services on the line were extended further west to Lydford railway station with the inauguration of Meldon Viaduct in 1874. Constructed to rival the South Devon Railway route to Plymouth, the completion of the LSWR's own route to Plymouth saw this line become an important route with lines to Padstow and Bude as well as Plymouth. Boat trains carrying passengers from ocean liners calling at Stonehouse Pool, Plymouth and prestige services such as the Atlantic Coast Express and Devon Belle all used the route.
Following publication of the Beeching Report in 1963, the Exeter to Plymouth Line was cut back to Okehampton in 1968.
Bow, North Tawton, Sampford Courtenay and Okehampton lost their passenger services from 1972. The line survived, however, for the purposes of freight thanks to the activities of the British Rail ballast quarry at Meldon, three miles from Okehampton, which had an output of 300,000 tons per year.
The station name is sometimes given as Sampford Courtney, but it is unclear as to whether it was ever officially spelt this way.
The Dartmoor Railway reopened the former up side platform at the station in 2002. Heritage passenger services now operate from the station, running to Okehampton and Meldon Quarry. Four Summer Sundays only Dartmoor Rover services are operated by First Great Western from Exeter and also calls at the station. It is timetabled to link in with Dartmoor Rover bus services and Dartmoor Railway services at Okehampton.
The Dartmoor Railway proposes to restore the interchange at Yeoford Junction where its line meets First Great Western's Tarka Line. The company is looking to create a railhead at Okehampton which would serve local industry and thereby save 50,000 lorry journeys per year.
British American Railway Services Ltd, a new company created by Iowa Pacific Holdings of Chicago, became the new owner of the Dartmoor Railway on 4 September 2008. The company intends to develop freight, passenger and tourist services on the railway.