Originally, Kursky Railway Station was located elsewhere and had a different name. A small wooden Nizhny Novgorod station was built outside the city at the Pokrovskaya Zastava, now known as Abelmanovskaya, on the left side of the modern Nizhny Novgorod street. Personally, P.P. Melnikov, the Minister of Railways in the mid-19th century, chose this location for the station.

For a long time, the station was considered temporary. The railway management sought to move it closer to the city center, so they saw no point in constructing a new building at the old site. Options were considered for placing the station at Gorokhovaya Street, on the Garden Ring, or merging it with the Nikolayevskaya Railway, but all were rejected.

Train services to Serpukhov began in November 1866, and the line was later extended to Tula, Oryol, and Kursk. With the start of operations, it became clear that the station needed to be expanded, but discussions about a new location continued for almost thirty years. During this time, only two extensions were added to the station. The issue was resolved after the treasury purchased the Nizhny Novgorod Railway and established the "Moscow-Kursk, Nizhny Novgorod, and Murom Railway" in 1894. The Nizhny Novgorod station was merged with the Kursky station, which was already under construction on the Garden Ring.

The new Kursky Railway Station opened in 1896. Newspapers reported that the old Nizhny Novgorod station was closing, and all trains would depart from the new Kursky station. The station building, designed by architect N.I. Orlov, had a symmetrical shape with white columns, two porticos, and towers with domes. The right wing was allocated to the Nizhny Novgorod direction, while the left was for Kursk. The old Nizhny Novgorod station building continued to be used for various needs for a long time. Now, residential quarters occupy its former site, and nothing reminds of its railway past.

The first reconstruction of Kursky Railway Station was completed in 1938, and in 1972 it was updated again, acquiring a modern appearance. The new building with stained glass faces the station square and is covered with a folded roof with a 9-meter canopy. The old station was not demolished; it became part of the new building, preserving the architectural decor in the central part. Its facade is visible from the side of the railway tracks, and the interior decor has been preserved in one of the waiting rooms.

Kursky Railway Station consists of an above-ground part with waiting rooms and ticket offices and an underground part, which houses luggage storage, passages to trains, and the metro. The design was aimed at efficiency and accommodates a large number of passengers.

Kursky Railway Station differs from most Moscow stations as it is a transit station rather than a terminal. The railway runs through it, connecting the northern and southern directions. From Kursky Railway Station, one can travel to the Black Sea coast, Crimea, the Caucasus, St. Petersburg, or eastward across the country. It is the largest station in Moscow, uniting several railway directions.