Named after Lord Sandhurst, the Governor of Bombay between 1895 and 1900, the station was built in 1910 using funds from the Bombay City Improvement Trust, which he helped raise. The Sandhurst Road railway station (upper level servicing the Harbour Line) was built in 1921. The supporting pillars of the edifice bear the inscription "GIPR 1921 Lutha Iron Works, Glasgow". The fabricated metal was imported from the United Kingdom. It is India's first two-tier station with a 1728 feet (527 m) long steel viaduct weighing 2788 tonnes (2788000 kilograms) that carries the Harbour line.
In January 2017, Lokmat reported that Central Railways planned to demolish the station in order to construct the fifth and sixth railways lines between CST and Kurla. CR plans to construct a new Sandhurst Road station on P D'Mello Road.