The first engine shed was located immediately west of the railway station when Bury St Edmunds was a terminus station for the Ipswich and Bury Railway. The opening of the line to Cambridge in 1854 saw the end of this first shed as it was in the way of the new line. A new engine shed of wooden construction was established on the north side of the line again west of the station. This shed deteriorated over the years and inclement weather in 1901 finished the structure off. The Great Eastern Railway, often parsimonious in matters relating to the locomotive department, left it until 1904 before a new three-road brick built shed with a north-light roof was built.