The station was built in 1917 to replace the station building of 1874.
In 1868 an export port was to be built in Esbjerg. After being defeated by the Germans in 1864, they had to free themselves from being dependent on Danish agricultural products being shipped through the port of Hamburg. But port was not enough - there should also be train service to the port. Therefore the Jutland Southern Railway was built from Lunderskov to Esbjerg and formed a connection to the Jutland Long Railway.
The railway enabled Vejen to develop into a thriving industrial town. Even before the railway came to Vejen in 1874, the village, originally located around the current church, developed into a commercial and handicraft center in the area. When Vejen was supposed to have a station on the railway between Lunderskov and Esbjerg, it was in a field south of the existing village. Several factories were set up next door, and in the early 1900s the station town grew next to the village.
Source: VisitVejen