Next to Cirkel K is the old railway station built in 1912 and designed by architect Ove Funch-Espersen. However, the station was not put into operation until the following year, when there were delays with the railway. The building is on 2 floors, built in red bricks and with mansard roof and arched gables so that the 1st floor could be used for a functional dwelling. The station also had a warehouse to the right of the building, this building still exists, but has been moved a little further into the site. The station was not built to receive large quantities of goods, a track switch was built in the middle of the town from where you could drive down to Allinge harbour and either unload the goods at the warehouse or directly on board a ship. On the outer pier at the northern end of the harbour, the cobblestones clearly show where the tracks were.

Allinge station is a very large building in relation to the size of the town, this is because Allinge and Sandvig at this time began to get many tourists and the stations thus had to accommodate the large number of passengers who visited the towns.

When times changed and there was no longer a need for railways on Bornholm, Allinge station was closed in 1953. Shortly thereafter, the building was taken over by the CF (the Danish Emergency Services) and a number of wooden houses were built on the site to serve as garages, dormitories, dining halls, etc.