Construction of Volnovakha station began in 1879. The Donetsk Road joint-stock company, founded by the renowned industrialist and philanthropist Savva Ivanovich Mamontov, began construction of the railway line from Yelenovka to Mariupol. On March 16, 1881, the foundation stone for Volnovakha station was laid at the 28th kilometer south of Yelenovka. On November 1, 1882, the first passenger train from Millerovo to Mariupol passed through the station.