The station was the terminus for trains on the Brighton Beach line, which was built in 1859 and operated by the St Kilda and Brighton Railway Company. The Company also built the loop branch line connecting the Brighton line to the Melbourne to St Kilda line, which was opened in 1857. Trains from Melbourne travelled to the St Kilda terminus, and then "backed out" onto the loop line to Windsor. The loop was constructed on wooden trestles across the swampy ground now known as the Albert Park Lake, and included a raised embankment with a bridge over St Kilda Road. The first train on the loop ran on 3 December 1859, and the line opened to the public ten days later. There were no trains after 7pm on the branch line; patrons had to walk to their homes in Prahran from St Kilda station in Fitzroy Street. A short time after the loop line was constructed, a direct connection was built between South Yarra and Windsor stations, the first train arriving at Windsor directly from Melbourne on 24 November 1860. The loop line to St Kilda soon fell into disuse, and track duplication, a condition of the original crown lease, was never completed.
Sidings
The St Kilda and Brighton Railway Company experienced financial difficulties and was bought by the Melbourne and Suburban Railway Company in 1862. The track, bridge and trestles between St Kilda station and Punt Road were dismantled; however, a siding from Windsor to Hoddle Street remained. Due to the track alignments there were now two level crossings within 100 metres on Union Street, as the siding continued to be used for shunting trains from the Brighton line, and to carry screenings from the Richmond quarries to a commercial depot on Punt Road. Perversely, it was due to local annoyance at the siding level crossing near the station, that trains won the legal right-of-way at road-rail intersections in Victoria. Indignant at the delays to horse-drawn traffic caused by trains, and in particular the perpetually closed and unmanned crossing of the siding, one morning in 1869, local councillors from Prahran marched to the level crossing in question with a group of workers who then began to rip up the tracks on the siding. The matter was later brought to court on 17 April 1869, although the railways won the right-of-way case, the siding was not reconstructed. No evidence of the bridge over St Kilda Road or embankments remain, although the alignment of the loop can be traced by the residual parkland and some oddly-shaped property boundaries. A small park to the west of Windsor station is called "Windsor Siding".
1887 accident
On the evening of 11 May 1887, an express train crashed into the rear of a stopping train between Prahran and Windsor stations. Four people were killed and over 100 severely injured. The stopping train had been halted short of Windsor station by a signal. When the signal to proceed was given, the driver could not release the brakes on his train due to a ruptured air pipe. An express train from Melbourne was scheduled 10 minutes behind the stopping train and, due to a curve in the track and a deep cutting, the crew of the express could not see the stationary train ahead. Cooper reported that the noise of the impact could be heard throughout Prahran and that, in a short time, over 10,000 people were gathered at the site. The driver of the Brighton express, Frederick William Maskell, was killed, along with his fireman, James HoustonMcNab, William Runting, aged 21, and Annie Foster, aged 45, of Colac. Only weeks earlier, Maskell had received a special reward of £5 from the Railways Commissioners for his alertness in averting an accident after another driver had disregarded a signal.
