The station was opened as "Theydon" by the Great Eastern Railway (GER) on 24 April 1865, as an intermediate station on their Loughton-Ongar extension; the GER became part of the London and North Eastern Railway (LNER) in 1923. 'Milk trains' to Liverpool Street were a regular feature in the timetable until the underpass from Leyton to Stratford was built.
As part of the 1935-40 New Works Programme projected the extension of the Central line over this LNER route. However, the further extension of the Central line from its new eastern terminus at Loughton was not clear cut. Considerable high level discussions were held regarding extending the Central line from Loughton to Epping by means of taking over passenger services on the newly nationalised railway line. Eventually the presence of new housing estates, including a London County Council estate near Debden station in Loughton with over 4,000 houses, swung the decision in favour. Theydon Bois became an intermediate station on the Central line on 25 September 1949.
As of 5 February 2006, the station is one of the first on the network to operate without a staffed ticket office.