In the mid-nineteenth century, coffee became the most important product for the Brazilian economy, and its cultivation rapidly spread towards western São Paulo. With coffee plantations stretching further and further away from the Port of Santos and the capital of the state, a more effective transportation network became necessary.

São Paulo’s first railway was the idea of Irineu Evangelista de Souza, Viscount Mauá, who believed that there should be a railroad connecting Jundiaí to Santos through Serra do Mar (the Sea Ridge). In 1867, English companies built the railway but, in return, retained the monopoly of the rail transport in Serra do Mar. São Paulo Railway Company, whose headquarters were in central São Paulo on the site of today’s Luz Station, was thus founded.

As it dominated coffee transportation, São Paulo Railway Company showed no interest in expanding its services despite coffee production being in general increasing. In response, the so-called coffee barons joined forces to build and expand the railway network towards the inland areas of São Paulo. Disagreements regarding the lines resulted in two different railway companies — Ituana and Sorocabana — competing for the same section of the railway network.

Sorocabana Railway Company was inaugurated in 1875 and was run by Hungarian entrepreneur Luís Mateus Maylasky, who secured the necessary funding from the Empire of Brazil to put the railway into operation. Poor management and the high cost of maintenance led the company into huge debt, which had to be paid off by loans. With the crisis in cotton production, Sorocabana's financial situation worsened, and in 1880 the imperial government, its largest creditor, intervened in its administration. As a result, the company's headquarters were transferred from São Paulo to Rio de Janeiro, the capital of the country at the time, where it was subject to stricter fiscal oversight.

In December of the same year, banker Francisco de Paula Mayrink, one of the richest and most influential men in the Empire, took control of Sorocabana. Mayrink intended to extend the railway down to the coast to end São Paulo Railway Company’s monopoly. The construction of this stretch of railway was crucial for Sorocabana, enabling it to move production from western São Paulo to the coast without relying on the English company. In 1892, Sorocabana absorbed Ituana, which had been ruined financially, putting an end to the rail transport rivalry in the inland areas of São Paulo.

The railway construction project that would connect the inland areas to Santos was authorised by the government in 1895, but lack of resources prevented it from happening. In 1901, administrative irregularities were uncovered, including embezzlement and theft of building materials. Therefore, federal intervenor Francisco Casemiro Alberto da Costa recommended the sale of Sorocabana. Without an offer that could cover the debts, the government decided to retake the reins and appointed as its manager engineer Alfredo Maia, who already oversaw the Central do Brasil Railway.

In 1904, Sorocabana was put up for auction and sold to the then Federal Government, which handed it to the State of São Paulo. In 1907, it was leased to a French-American group, directed by American investor Percival Farquhar, which controlled other railway companies in the Brazilian states of Paraná, Santa Catarina, and Rio Grande do Sul.

With the onset of the First World War in 1914, the invested capital that financed Farquhar dwindled and his companies plunged into a dramatic crisis. The situation rapidly deteriorated and he filed for bankruptcy in the United States that same year. In the following years, the Federal Government of Brazil and the states from the South of the country tried to retake the main railroads that used to be run by Farquhar, fighting the many lawsuits brought against him both in the United States and in Brazil.

In 1919, the State of São Paulo once again took control of Sorocabana and renamed it Sorocabana Railway. It was Arlindo Luz's turn to put a general recovery plan in operation. The opening of a line connecting São Paulo to the coast, the modernization of the train fleet, and the construction of a terminal in São Paulo marked the 1920s as Sorocabana's heydays. The section connecting Mairinque to Santos was finalised in 1938, after 14 years of challenging building work that required the participation of 41 companies and 13000 workers who built, in addition to 162.8 miles of railway track, 32 tunnels, 18 flyovers, and 100 retaining walls.

It was during this time of prosperity that the company decided to erect a huge building where it could concentrate all its activities; a train station for the "Coffee Metropolis", a symbol of power and wealth. In 1925, architect Christiano Stockler das Neves designed Júlio Prestes Station, with works beginning the following year. The building was not completed until 12 years later, due to political changes, financial problems entailed by the Great Depression, and disagreements between the architect and the railway administration.

Historical events such as the Stock Market Crash of 1929, the Constitutionalist Revolution of 1932 in São Paulo, and the Second World War between 1939 and 1945 led Sorocabana into debt from which it would never recover. The Second World War in particular brought about a violent drop in coffee exportation and made access to parts for the tracks an impossibility.

Other issues may have contributed to the worsening of Sorocabana's situation, such as the government's decision that the company should absorb other insolvent companies; unfinished modernizing projects such as the railway electrification process initiated in 1940 and abandoned in 1969, which led to high expenditure and forced the company to use both diesel and electric locomotives; and the enthusiasm for the automotive industry being set up in Brazil at the time amidst a growing preference for road transport, a decisive factor in relegating rail transportation to second place.

In 1971, in an ambitious restructuring plan, Paulista Rayway S.A. (Fepasa) was created to bring together all of São Paulo’s state rail transport companies. The plan involved cancelling loss-making stretches and concluding unfinished works. The building of Júlio Prestes Station became the new company's headquarters.

In 1992, Fepasa created the Coordination Office for the Recovery of Historical and Environmental Heritage (CPH) with the remit of carrying out work to revitalise railway assets. As regards Júlio Prestes Station, in addition to restorating and conservating the entire complex, their plan included converting the building's main areas into event venues.

It was in this context that, in 1997, architect Nelson Dupré was invited by the Secretary of Culture of the State of São Paulo to bid for the restoration of the building. The aim of the project was to re-purpose the space so that it could be used by São Paulo Symphony Orchestra — Osesp. The idea was to build a concert hall on the site of the building's winter garden.

On 1 April 1998, the Government of the State of São Paulo transferred Fepasa to the Federal Government as a way to pay off its debts. Under the architectural guidance of Dupré, the restoration of Júlio Prestes Station began with an agreement conferring on the Secretary of Culture of the State of São Paulo the right to use the building, which would simultaneously host a cultural complex and a train station.

Sala São Paulo was inaugurated on 9 July 1999, the same date it was listed as a historical heritage site by the Council for the Defence of Historical, Archaeological, Artistic and Tourist Heritage of the State of São Paulo (Condephaat). In the inaugural concert Osesp, conducted by John Neschling, played Mahler's Second Symphony — The Resurrection.