In 1893, the Ryazan-Ural Railway Society began construction of a line connecting Penza and Serdobsk, completing it in 1896. The Penza III station started operations on December 1, 1896. Along with the station, a locomotive depot, railway workshops, and residential houses for railway employees were built. In 1908, a rest house was constructed for the locomotive crews.

From Penza III, grain, bread, timber, paper, starch, and molasses were sent to other regions of the country, while petroleum products, sugar, flour, coal, and fish were imported.