Claydon was opened by the Buckinghamshire Railway on 1 May 1850 as part of its line from Banbury to . The line was worked from the outset by the London and North Western Railway (LNWR) which absorbed the Buckinghamshire Railway in 1879. The line was subsequently extended westwards to , to a temporary station at Banbury Road and then to Oxford, opening throughout on 20 May 1851. Claydon station was situated at the 11 milepost on the eastern side of a level crossing where the road from Steeple Claydon to Middle Claydon crosses the line. The station's name came from the fact that the location is surrounded by places with "Claydon" in their name, such as Botolph Claydon and East Claydon, as well as Claydon House which was the residence of Sir Harry Verney, one of the founders of the Buckinghamshire Railway. The nearest village was Steeple Claydon whose inhabitants also had the choice of Padbury railway station on the Banbury to Verney Junction Branch Line which was about away.