The original station was opened in 1834 by the Leeds and Selby Railway; it consisted of a shed by the waterside in which passengers would alight the train and walk across the road to the connecting boat on the river. This site was just to the south of the station site. Selby station was the first railway station to be built in Yorkshire, a fact commemorated by a plaque on the original building.
In 1840, the Hull and Selby Railway was opened. The original terminus station of the Leeds & Selby railway was converted to goods use only and the current station was built. In order to cross the River Ouse, a bascule bridge swing bridge was installed to the northeast of the station, replaced by a swing bridge in 1891. Ships had (and still have) priority over railway traffic.