Nyugati station is now among 35 venues, such as the Trevi Fountain in Rome and the Potemkin Stairs in Odessa, that the European Film Academy deems of "symbolic nature for European cinema" and worth protecting for future generations.

The railway station has featured in István Szabó's "Sunshine", Tony Scott's "Spy Game", Steven Spielberg's "Munich" and Tomas Alfredson's "Tinker Tailor Soldier Spy".

The music video for singer Gwen Stefani's 2008 single "Early Winter" was partly shot at the station.

The station was planned by August de Serres and was built by the Eiffel Company. It was opened on 28 October 1877. It replaced a previous station, which was the terminus of Hungary's first railway line, the Pest–Vác line.