The building was constructed in eclectic style between 1881 and 1884 and was one of the most modern railway stations of Europe in that time. It was planned by Gyula Rochlitz and János Feketeházy.

The main façade is adorned with two statues of James Watt and George Stephenson.
Keleti pályaudvar is also a station of the M2 (East-West) line of the Budapest Metro. The metro station's length is 193 m, the platform length is 180 m, underground depth is 14 m. From about 2015 on, it will be a station of the Line 4 (Budapest Metro), too.

It is also planned that fast train service would connect this railway station with the Budapest Ferihegy International Airport, maybe from 2009 on. The fact that the majority of Intercity services (36 out of 53) arrive at this railway station makes this decision more probable. Also, recently, almost all international trains serving Budapest call at Keleti station.

From Budapest Keleti provides connections as well as international destinations:
• Graz, Vienna (Austria)
• Sofia, Varna (Bulgaria)
• Split, Zagreb (Croatia)
• Prague (Czech Republic)
• Berlin, Hamburg, München (Germany)
• Venice (Italy)
• Warsaw (Poland)
• Bucharest, Sibiu, Timişoara (Romania)
• Bryansk, Kaluga, Moscow (Russia)
• Belgrade (Serbia)
• Bratislava (Slovakia)
• Ljubliana (Slovenia)
• Zürich (Switzeland)
• Kiev, Lvov (Ukraine)
• Istanbul (Turkey)