The original Wansford station, designed by J.W. Livock, is located on platform three and was built in 1844–1845 in Jacobean style for the opening of the railway. This building was finally purchased by the Nene Valley Railway in 2015. In October 2011 it appeared on the list of the ten most threatened Victorian and Edwardian buildings, published by the Victorian Society.
The station opened with the Northampton and Peterborough Railway from Blisworth to Peterborough in 1845. Being located on the Great North Road, it was for a few years the railhead for Grantham, Lincoln, etc., which at this time were not served by any railway lines. The branch line to Stamford opened in 1867. The route to Rugby became available when the LNWR built a line from Yarwell Junction, west of Wansford tunnel, to their existing 1850 Rugby to Stamford line at Seaton. At the same time, the Great Northern began a service from Peterborough North to Leicester Belgrave Road via Wansford, Seaton and the newly opened Great Northern and London and North Western Joint Railway in east Leicestershire. The Leicester trains were stopped as a war economy in 1916. The Stamford branch closed in 1929, having never properly recovered from the 1926 general strike. The station closed for regular passenger services on 1 July 1957 but passenger services from Peterborough continued to use the line to Northampton until 1964, and to Rugby until 1966. The Rugby line remained open for freight as far as the sand and gravel quarries at Nassington. When these stopped, the line closed but the track remained in situ. The line became the Nene Valley Railway heritage railway and was reopened on 1 June 1977.
The signal box was built in 1907 by the London and North Western Railway to replace three smaller boxes. It was originally built with 60 levers and is one of the largest preserved signal boxes in its original location.
The turntable is located behind the new station building, and was built by Ransomes & Rapier of Ipswich in 1933. Originally it was 60 feet (18 m) long and was installed at Bourne in Lincolnshire for use on the Midland and Great Northern Joint Railway. It continued in use there until 1959 when Bourne shed closed and the turntable was moved to Peterborough East; its last duties being to turn Travelling Post Office(TPO) coaches for use on the East Anglian TPO.
In 1977 the turntable moved to Wansford where it was extended by 7 feet (2.1 m) to make it 67 feet (20 m) in length and was commissioned in September 1978. The turntable has been in use ever since to turn the locomotives and carriages at the NVR.