Named after Neptune Avenue, which bears the name of the Roman god of the seas.
NYC Parks describes Neptune Avenue as one of Coney Island’s three major east–west thoroughfares, the others also featuring aquatic names. Until 1995 the station was called Van Sicklen, after the family that owned the land crossed by the original surface right-of-way and ran the Van Sicklen Hotel there. It was then renamed after Neptune, the nearest major avenue.