Built in 1865, it is named for the surrounding area, which in turn is named for the Priory of St Denys, a major landmark in medieval Southampton.

The station is at the site of the junction between the London to Weymouth mainline and the West Coastway Line running between Southampton and Portsmouth. It is currently owned and served mainly by South West Trains, with irregular services operated by First Great Western and Southern. There are four platforms; two on the main line and two on the branch line.

The original station was opened in 1859 and named "Portswood", for the small village to the west of the mainline. Shortly after, to accommodate the Portsmouth branch line, a new station building was built a quarter of a mile to the south. However to avoid confusion with Portsmouth, the station was renamed to St Denys in 1876.

The station buildings themselves are fine examples of Victorian architecture. The original station building on platform 1 is listed, although it is now privately owned. Platforms 2 and 3 house the waiting room and ticket window, whilst the old station buildings on platform 4 house The Solent Model Railway Group, a local organisation.

St Denys controlled the junction of the main line with the Portsmouth branch and, originally, a level crossing on Priory Road. The crossing was replaced by a road overbridge in the 1930s.