The railway significantly changed the appearance of the quiet provincial town of Penza and brought important changes to its economic development. The central station Penza-I became a symbol of these changes.

Construction of the railway began in the 1870s, with most of the expenses covered by the private company of the Morshansk-Syzran railway. Significant forces were involved in the work: hundreds of peasants manually built embankments and laid sleepers. At the same time, the station was being constructed, built according to the latest engineering achievements of that time. The first telegraph apparatus in the city appeared here, as well as permanent heating, a buffet with free hot water, and a rest room. In October 1874, the construction was completed. A locomotive from the Maltsev factory, after checking the strength of all crossings, arrived at the station, picked up the city leadership and railway staff, and took them on a picnic. Thus began a new era in the history of the Penza province.

Later, this station became the starting point for the Moksha regiment, which participated in the Russo-Japanese War. In its honor, the march "On the Hills of Manchuria" is sometimes performed here. Nicholas II also visited this place and wrote in his diary on June 28, 1904: "At 8 o'clock, we arrived in Penza at the parade site. The following regiments participated: the 213th Orovai, the 216th Insar, the 281st Driss, and the 284th Chembarsky. They presented themselves excellently, despite the poor condition of the ground, softened by the rains. After visiting the cathedral, we returned to the station and continued our journey."

Gradually, the station became a popular place for carriage drivers to wait. Since the station was on the outskirts, passengers were forced to use their services. The drivers, noticing the high demand, doubled the fare.

The old station was demolished in the 1970s, having stood for almost 100 years. A new one was built in its place, which has also been reconstructed in recent times.