Sudbury Hill station was opened on 28 June 1903 by the District Railway on its new extension to South Harrow from Park Royal & Twyford Abbey.

This new extension was, together with the existing tracks back to Acton Town, the first section of the Underground's surface lines to be electrified and operate electric instead of steam trains.

The deep-level tube lines open at that time (City & South London Railway, Waterloo & City Railway and Central London Railway) had been electrically powered from the start.

The original station building was demolished in 1930 and 1931 and replaced by a new station in preparation for the handover of the branch from the District line to the Piccadilly line. The new station was designed by Charles Holden in a modern European style using brick, reinforced concrete and glass. Like the stations at Sudbury Town and Alperton to the south as well as others that Holden designed elsewhere for the east and west Piccadilly line extensions such as Acton Town and Oakwood, Sudbury Hill station features a tall block-like ticket hall rising above a low horizontal structure that contains station facilities and shops. The brick walls of the ticket hall are punctuated with panels of clerestory windows and the structure is capped with a flat concrete slab roof.

On 4 July 1932 the Piccadilly line was extended to run west of its original terminus at Hammersmith sharing the route with the District line to Ealing Common. From Ealing Common to South Harrow, the District line was replaced by the Piccadilly line.

Since 1994 it has been a Grade II Listed Building.