The first railway station in Copenhagen was built in 1847, approximately at the present station location. It served Roskildebanen, and it was made of wood because it was built outside the fortifications where buildings with foundations were not allowed. An expansion was soon necessary due to plans to extend the railway network in Denmark. A new larger station, designed by H. J. Herholdt, opened in 1864.
The second station also proved too small, especially because there was only one track leading out of the city. It was decided to build a new station, including a tunnel to Østerport station, and with tracks out of the city to the south. Designed by Heinrich Wenck, the present station was finished on 1 December 1911. The tunnel (the Boulevard Line) was opened in 1917.
The station was overhauled in 1980. Escalators and lifts were established to the platforms, and the station concourse, which was originally split into arrival, departure, and freight sections, was redone completely. The station was overhauled again from 2004 to 2008. This overhaul replaced the roof, lowered platforms 3 to 6 to international standards and lengthened them. The towers and the bridge over the platforms, upon which the main station building is placed, were reconditioned.