'Kilburn' may mean the king's stream or the cattle stream.
The stream, today's River Westbourne, now flows underground; bourne or burn means a small river. The name was first recorded in 1134 as Cuneburna, also as Kelebourne. Kilburn Priory, founded that year where Watling Street crossed the stream, took its name from it, and so did the hamlet. The station opened in 1879 as Kilburn and Brondesbury.