Helensburgh was first known as "Camp Creek". It began as a tent town of railway workers who were constructing the Illawarra railway line. Explanations for the choice of the name "Helensburgh" include that the town was named after Helensburgh in Scotland, birthplace of the Cumberland Coal Mine's manager, Charles Harper; or that the town was named after Harper's daughter, Helen.
Helensburgh's first station opened in 1889 as the single line from Sutherland was progressively extended south towards Stanwell Park. It was built between the short Helensburgh Tunnel and the longer Metropolitan Tunnel to service the local Helensburgh township. A new site opened on 30 May 1915 when the line was duplicated and new tunnels were constructed between Waterfall and Otford. The first Helensburgh Station was built in 1889 on the first single line section of the Illawarra Railway, opening from Waterfall to Scarborough in 1888. This section of the line thereby provided a continuous line as far as Bombo by connecting up with the previously isolated section of line.
Early train operations from Clifton (Scarborough) to Waterfall required 8 tunnels penetrating ridges with high embankments between. Two of these tunnels, the Otford railway tunnel and the Metropolitan tunnel, were notorious for hot and suffocating conditions experienced by the crew of steam trains climbing to Waterfall from Thirroul. There were cases of enginemen burnt by the heat. Due to these conditions, the single line section became an operational bottleneck. To negotiate the steep terrain, train loads were reduced by up to 50% of capacity.
In order to provide a duplicated railway as far as Wollongong it was necessary to plan an entirely new section of the line that started at South Waterfall and ended at Lilyvale. Work commenced in 1914 to eliminate the original single line route south of Waterfall with its steep grades and poorly ventilated tunnels. Deviations requiring massive earthworks were built for a less severely graded double track, and this project was known as the "Helensburgh Deviation". Completion of the project was accomplished in 1920 when the worst of the tunnels (the Otford tunnel) was bypassed.
This project resulted in the construction of the present Helensburgh Railway Station, on a different site from the original Helensburgh Railway Station, which opened in 1915. The original Helensburgh and Metropolitan Tunnels, as well as remnants of the former Helensburgh Station platform remain southwest of the present station. The land is now no longer in RailCorp ownership and has been vested to the NSW Department of Lands.
Helensburgh Railway Station has an island platform with a standard brick single storey building being one of the longest of its type, the signal box section now being used as a waiting room. To the east is a brick and steel overbridge that originally connected the platform by way of a steel and pre-cast concrete footbridge and stairs.
Helensburgh became the temporary terminus of the electrified line when it opened from Waterfall on 6 May 1984. Electrification was extended through to Port Kembla in January 1986.
In 2007, at the western end of the platform, a reinforced concrete footbridge was built over the "down" line with stairs and lifts connecting between the platform and the car park on the southern side of the station. The staircase to the Wilsons Creek Road overpass was removed at this time.