In 1829, the Goldsworthy Gurney steam minibus passed through Slough while travelling from London to Bath. This was the first locomotive journey of any distance anywhere in the world. However, even after this line was operational, there was no stop at Slough. This was because of opposition from Eton College, who were worried that the temptations of London would be too easily accessible for their students. However, trains 'happened to stop' in Slough, and tickets could be bought from the North Star Tavern.

The first station at Slough opened in 1840. Originally there were two stations in Slough, serving trains going in different directions. Between the two was a space for unloading horses and luggage, and there was a royal waiting room in each. It did mean, however, that someone travelling from London to Windsor had to change stations and not just platforms.

Slough station had some illustrious visitors over the years, probably none more so than Queen Victoria, whose first ever train journey started from Slough in 1842. Princess Alexandra of Denmark passed through in 1863 on her way to marry the Prince of Wales, who was also a regular visitor. On one occasion, the Empress of Austria took refuge from a snowstorm in Slough station.

The current station, which is actually Slough's fifth, was opened in September 1884. It was designed by John Danks in the French Renaissance style.

John Danks was born in Holburn in 1843, and studied architecture in Reading. As architect for the Great Western Railway he designed, among others, the stations at Slough, Langley, Taplow and Tilehurst, which were all done in a similar style. Danks came to live in Langley when he retired in 1903, and he died in 1910.

The new station was built of red brick with sandstone dressings. When it opened, it was described as one of the finest on the GWR network. It has three large domes, the central one of which housed the ticket office, and has a large clock on the outside. There were two refreshment rooms on the central platform, one for first and second class passengers, and the other for third class. There were also four well-furnished waiting rooms, two for general use and two for women only. The station also attracted praise for its' covered, gas lit footbridge.

In 2006 a plaque commemorating John Danks was unveiled at Slough station.