The station was opened by the steam-operated Metropolitan Railway (MR) (now the Metropolitan line) on 1 October 1868 as Bayswater, as part of the railway's southern extension to South Kensington where it connected to the District Railway (DR). Construction of the railway line, through the already developed Bayswater area required the excavation of a tunnel using the cut and cover method: a trench deep was excavated between brick retaining walls which was then roofed-over with brick arches to allow building work above. Large compensation payments were made to landowners affected by the excavations and, in Leinster Gardens to the east, the frontages of two houses demolished to make way for the line were reconstructed to restore the appearance of a terrace of houses.