Construction on the Shepherd Avenue station started in 1938 as part of a four-station extension of the Fulton Street subway eastward under Pitkin Avenue toward Queens. Work was delayed by funding problems due to World War II, even though the stations were mostly complete. Construction resumed on the extension of the Fulton Street Line in November 1946, and this part of the Fulton Street Line opened in 1948. The extension of the Fulton Street subway replaced the Fulton Street elevated line, which closed afterward.