The construction of the railway between Moscow and Kursk was completed on September 7, 1868. To reduce costs and speed up the process, the railway station was located in the suburban Yamskaya Sloboda, about 3.2 km from Kursk. Until 1934, the station was named Yamskaya, and it is mentioned by the absent-minded character in S. Marshak's works. Traffic on the Moscow-Kursk railway began on September 30, when Emperor Alexander II, returning from Crimea, took a special train from Kursk to Moscow. That same year, traffic was opened on the Kursk-Kiev section to the stations of Vorozhba and Brovary. In 1869, the construction of the railway station was completed, and the line was extended to Belgorod and Kharkov (the Kursk-Kharkov-Azov railway section). The Kursk station was classified as a 1st class station.

In 1872, the authorities of Kursk decided to build an additional railway branch to the city center. Construction began in 1874 and was completed on June 6, 1878, when a passenger and freight station "City of Kursk" (Kursk II) was opened on Khersonska Street (now Dzerzhinsky Street), and traffic on the city branch was launched.

Kursk was one of the few cities with urban railway communication. The station at the city station was called "Kursk," while the station at Kursk-I was called "Yamskaya." In addition to the "Yamskaya station, Kursk" line, tracks were later laid to the Moscow Gates, onto Moscow Street, and into Streletskaya Sloboda.

In 1894, the construction of the Kursk-Voronezh railway was completed. The administration of the Moscow-Kiev-Voronezh railway, established in 1895, was located in Kursk, near the urban station.

In 1934, after the formation of Kursk Oblast, the Yamskoy station was renamed Kursk (Kursk-Glavny), and the city station became exclusively freight.

In the summer of 1943, during the Great Patriotic War, the old station building was destroyed by German aviation. In 1946, the restoration and modernization of the station's infrastructure began. The modern station building and the station square were completed in 1952.

The Moscow-Kursk mainline was electrified in 1959, and the Kursk-Belgorod section a year later. In 1968, the urban railway branch was dismantled. In September of the same year, two deserters opened fire in the station square, resulting in 13 deaths and 11 injuries.

In 1988 and 1995, the interiors of the Kursk station were renovated, the platforms were extended to accommodate trains of 32 passenger cars, and a tunnel was extended to two new platforms.

In 2009, the locomotive depot TCh-29 was reorganized, creating two structural divisions: the repair locomotive depot "Kursk" and the operational depot "Kursk-Sorting."