Around the turn of the 20th century, the Kansas City Terminal Railway, a company controlled by the 12 railroads serving Kansas City, decided that a new location was needed for the train depot. The location at the time was prone to flooding by the Kansas and Missouri Rivers. A new location was selected south of the central business district, above and away from the floodplain. The architect chosen to design the building was Jarvis Hunt, a proponent of the City Beautiful movement. The design was a main hall for ticketing, and a perpendicular hall extending out over the tracks for passenger waiting. The Beaux-Arts station opened on October 30, 1914 as the second-largest train station in the country. The building encompasses 850,000 square feet (79,000 m²), the ceiling in the Grand Hall is 95 feet (29 m) high, there are three chandeliers weighing 3,500 pounds (1600 kg) each, and the Grand Hall clock has a six-foot (1.8-m) diameter face. Due to its central location, Kansas City was a hub for both passenger and freight rail traffic. The scale of the building reflected this status.

Union Station made headlines on June 17, 1933, as four unarmed FBI agents were gunned down by gang members attempting to free captured fugitive Frank Nash. Nash was also killed in the gun battle. The “Kansas City Massacre” highlighted the lawlessness of Kansas City under the Pendergast Machine and resulted in the arming of all FBI agents.