Milcote station opened as part of the original OW&W branch to Stratford in 1859, and was intended to serve the villages of Milcote, Weston and Welford. Originally a single platform and two sidings, the station was rebuilt with the doubling of the line and the modified station opened on the 7th May 1908. The goods facilities were also improved at this time. A signal box was also provided, although it is unclear when this happened; although there is no official record of a signal box at Milcote before 1891, the layout of the station prior to this suggests that some movement controls must have been in place before this.
Like a lot of other stations on the line, Milcote lost its initial administrative independence to another station; in this case to Long Marston in 1931. During World War Two, a train was attacked by the Luftwaffe in the station area. There was little damage but a bullet damaged the Down waiting room, the resulting hole remaining until closure of the station.
The station became an unstaffed halt on the 1st March 1956. Goods facilities were withdrawn on 1st July 1963 and passenger facilities were withdrawn on the 3rd January 1966. Some parts of the station were removed to the Birmingham Railway Museum and the Great Western Society at Didcot. Today the trackbed is part of a walkway between Stratford and Long Marston and there is a small car park at the site of the station.