The Underground station originally opened in 1907 under the name of Great Central, but  changed to Marylebone in 1917. The original name is still visible on the tiling of the platform walls.

The Doomsday Book recorded the area as Tyburn, in reference to the Tyburne tree, a place of execution in the 18th century. The executions were a public spectacle, drawing large crowds to watch the gory events. Rodger Mortimer was the first person to be hanged there, executed without trial.

The station has been used as a filming location for many televisions productions including Dr Who, Spooks, Green Wing, Miranda and Gavin and Stacey.