When the Southampton and Dorchester Railway (S&DR) was opened on 1 June 1847 Wool was one of the original stations on the line. The line was originally built with a single track but no telegraph, with the result that there was a head-on collision between Wool and Wareham on 27 September 1847; casualties were light. The S&DR was amalgamated into the London and South Western Railway (LSWR) on 11 October 1848, and that company doubled the line in stages: the section from Wimborne to Wool was doubled on 1 June 1863, and the double track was extended from Wool to Dorchester on 1 August 1863. In 1960, the station was allocated a camping coach converted from a Pullman car, which was fitted with a full kitchen, two sleeping compartments and a room with two single beds.
Until 1967, trains through the station were normally steam hauled. Between 1967 and 1988, passenger services were normally provided by Class 33/1 diesel locomotives with Class 438 coaching stock (also known as 4-TC units). The line was electrified in 1988, using the standard British Rail Southern Region direct current third rail at 750 volts. Class 442 electric multiple units were initially used following electrification, until being displaced by new Class 444 electric multiple units in 2007.
There is a basic hourly service in each direction throughout the week, however peak times two trains an hour call in each direction on weekdays; these are operated by South West Trains.