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The station was little used and trains often passed through it without stopping. Its lack of patronage coupled with its proximity to other stations resulted in its closure in 1932. During the Second World War it was used as a bunker by prime minister Winston Churchill and his War Cabinet. The station building survives today and is close to Down Street's junction with Piccadilly.
The station was opened by the Great Northern, Piccadilly and Brompton Railway on the 15th March 1907. The surface building was designed by the Underground Electric Railways Company of London's (UERL's) architect Leslie Green in the UERL house style of a two-storey steel-framed building faced with red glazed terracotta blocks, with wide semi-circular windows on the upper floor. The station had a pair of Otis lifts, with the platforms located 22.2 metres (73 ft) below the street level of Piccadilly.
In 1929, Down Street was one of the stations suggested for closure in connection with the extension of the Piccadilly line: the elimination of less-busy stations in the central area would improve both reliability and journey times for long-distance commuters. Additionally, the neighbouring stations were being rebuilt with escalators in place of lifts and their new entrances were even nearer to Down Street, further squeezing its catchment area. The station was permanently closed on 21 May 1932.
After the station was closed it was almost immediately modified. The western headwalls of both platform tunnels were rebuilt to allow a step plate junction to be installed, providing access from the eastbound and westbound tunnels to a new siding located between Down Street and Hyde Park Corner. The siding is mainly used to reverse westbound trains, but could also be used for servicing trains. The siding tunnel is accessible at its western end through a small foot tunnel constructed from Hyde Park Corner station. The lifts were removed and the shafts adapted to provide additional tunnel ventilation.
The station was selected for use as an underground bunker in early 1939 as part of a programme of developing deep shelters to protect government operations from bombing in the event of war. The platform faces were bricked up and the enclosed platform areas and space in the circulation passages were divided up into offices, meeting rooms and dormitories. The engineering and structural work was carried out by the London Passenger Transport Board and the fitting-out of the rooms and installation of the power and communications equipment was done by the London, Midland and Scottish Railway. A two-person lift was installed in the original emergency stairwell and a telephone exchange, toilets and bathrooms were added. The main occupant of the shelter was the Railway Executive Committee, but it was also used by prime minister Winston Churchill and his war cabinet until the Cabinet War Rooms were ready for use. Churchill called the establishment at Down Street "The Barn".
Since the end of the war, the station has been used only as an emergency exit point from the Underground.
In April 2015, Transport for London announced that it was seeking proposals for the commercial use of parts of the surface building, disused lift shaft and underground passages. Suggested possible uses included a restaurant, a bar, a theatre, a gallery or retail space.