The first Milano Centrale station opened in 1864 in the area now occupied by the Piazza della Repubblica, south of the modern station. It was designed by French architect Louis-Jules Bouchot (1817–1907) and its architectural style was reminiscent of Parisian buildings of that period. The station was designed to replace Porta Tosa station (opened in 1846 as the terminus of the line to Treviglio and eventually Venice) and Porta Nuova station (opened in 1850 as the second terminus on the line to Monza, which was eventually extended to Chiasso) and was interconnected with all lines, either existing or under construction, surrounding Milan. It remained in operation until 30 June 1931, when the current station was opened. There is now no trace of the old station left.
King Victor Emmanuel III of Italy laid the cornerstone of the new station on April 28, 1906, before a blueprint for the station had even been chosen. The last, real, contest for its construction was won in 1912 by architect Ulisse Stacchini, whose design was modeled after Union Station in Washington, DC, and the construction of the new station began. The purported style was an eclectic mix called "Assyrian-Lombard."
Due to the Italian economic crisis during World War I, construction proceeded very slowly, and the project, rather simple at the beginning, kept changing and became more and more complex and majestic. This happened especially when Benito Mussolini became Prime Minister, and wanted the station to represent the power of the Fascist regime. The major changes were the new platform types and the introduction of the great steel canopies by Alberto Fava; 341 m (1,119 ft) long and covering an area of 66,500 square metres (716,000 sq ft).
Construction resumed in earnest in 1925 and on July 1, 1931, the station was officially opened in the presence of Foreign Minister Galeazzo Ciano.
The station played a vital role during the Holocaust in Italy, when Jewish inmates from the San Vittore Prison, previously captured in northern Italy, would be taken to a secret track, Binario 21, underneath the station to be deported to extermination camps. Altogether, 15 deportation trains with 1,200 prisoners left the station from Binario 21. A Memoriale della Shoah was opened at the former platform in January 2013 to commemorate these events.
Its façade is 200 metres (660 ft) wide and its vault is 72 metres (236 ft) high, a record when it was built. It has 24 platforms. Each day about 330,000 passengers use the station, totaling about 120 million per year.
The station has no definite architectural style, but is a blend of many different styles, especially Liberty and Art Deco, but not limited to those. It is adorned with numerous sculptures. “The ‘incongruous envelope of stone’ (Attilio Pracchi) of this gigantic and monumental building dominates Piazza Duca d’Aosta.”
On September 25, 2006, officials announced a €100 million project, already in progress, to refurbish the station. Of the total cost, €20 million has been allocated to restore "certain areas of high artistic value" while the remaining €80 million will be used for more general improvements to the station to make it more functional with the current railway services. The project includes moving the ticket office and installing new elevators and escalators for increased accessibility.
There remains unrestored and inaccessible areas to the public within the station including a waiting room with swastikas on the floor designed to receive Hitler.