By the end of the 19th century, the Ryazan-Ural Railway Company managed the largest private railway, connecting 12 densely populated provinces. This railway ran through the Black Earth region and the Volga region to the Urals, linking cities such as Smolensk, Tambov, Saratov, and Astrakhan, but it did not have access to Moscow. In May 1897, the railway management received permission to construct the necessary line leading to Moscow via Pavelet.

The construction of the line was completed in record time; however, the opening of the station was delayed due to the lengthy selection of its location. Until 1900, trains of the Ryazan-Ural railway were transferred from the Zagorie station (now Biryulyovo) to the Tsaritsyno station of the Moscow-Kursk railway and then to the Kursk station. The station was planned to be located in the area of the current television center on Shabolovka, at the Krupetskaya Zastava, or at Zatsepa. Before the construction began, the Ryazan-Ural railway company had to reconstruct the old Krasnokholmsky bridge over the Moscow River and arrange the square in front of the station.

The station, built according to the design of architect Krasovsky, was initially called the Saratov Station, as Saratov was the center of the Ryazan-Ural railway. At the same time, it was also referred to as Paveletsky; both names can be found in directories of that time. The station building was executed in accordance with the architectural canons of the time: a symmetrical two-story building with a central three-story part and attics above the protruding side wings. The walls were faced with decorative brick, the plinth with hewn stone, and the vestibule and cornices in the halls were decorated with stucco. The station opened to passengers on October 15, 1900.

With the construction of the station, the Zatsepa area became lively, residential buildings and shops began to be constructed, and a tram line was established. Large elevators were built behind the station for grain cargo, which was the main freight for the Ryazan-Ural railway. The freight station began to serve the factories and plants of Derbenevskaya Embankment.

In the 1980s, the station was renovated; its exterior appearance changed little, although the interior spaces were significantly restructured.

Next to the station is the pavilion "Funeral Train of V.I. Lenin," where the steam locomotive U-127 and freight car No. 1691 are stored. The steam locomotive U-127, damaged during the Civil War, was restored during a volunteer day in 1923, and at that time, V.I. Lenin was elected its honorary engineer. In January 1924, this locomotive delivered the funeral train with Lenin's body to Moscow. In 1937, the locomotive was placed on permanent display as a "symbol of national mourning"; in 1941, it was evacuated to Ulyanovsk and later returned to Moscow. Today, the steam locomotive U-127 holds not only memorial significance but is also a valuable monument to the history of rolling stock of the Russian railways, being one of the two surviving passenger steam locomotives built before the revolution.