The Coal & Coke Railway Company was incorporated May 14, 1902, by former U.S. Senator Henry Gassaway Davis and associates, to connect Charleston with the West Virginia Central & Pittsburg [sic] Railway in the vicinity of Elkins.

Davis had acquired extensive landholdings in the Roaring Creek area of Randolph County and other coal properties in Upshur, Braxton, and Gilmer counties. The construction of a railroad was necessary for the development of these properties. After selling the West Virginia Central & Pittsburg in the fall of 1902, Davis acquired 25 miles of track owned by the Roaring Creek & Charleston Railroad and the Roaring Creek & Belington Railroad, both serving his coal properties in Randolph and Barbour counties. He soon acquired 64 more miles of track, which had been constructed by the Charleston, Clendenin & Sutton Railroad, extending from Charleston toward Sutton.

With these acquisitions, only 107 miles of new track from Roaring Creek to Sutton had to be built to provide through traffic from Elkins to Charleston. Construction on the new segment of the Coal & Coke Railway began in the spring of 1903. It was completed on December 2, 1905, when the last spike was driven at Walkersville in Lewis County. Twelve tunnels totaling two miles of underground trackage and 30 steel bridges had been constructed to penetrate the mountainous terrain on the route from Roaring Creek (now Norton) in Randolph County to the new town of Gassaway on the Elk River in Braxton County.

When the Coal & Coke Railway was completed, it provided a much needed north-south route through the heart of West Virginia. The Coal & Coke connected with the Western Maryland Railroad at Elkins and with the Kanawha & Michigan at Charleston. The Coal & Coke Railway provided a way for West Virginia coal to get to outlets on the Great Lakes, as well as an alternate route to Atlantic Ocean ports. The first coal originating on the new line was shipped from Charleston to the Midwest on December 3, 1905. The first passenger train ran from Elkins to Charleston on January 21, 1906. For more than a decade, passengers and large quantities of coal, coke, timber, and other products were moved over the Coal & Coke.

After Davis's death in 1916, the Baltimore & Ohio Railroad purchased the controlling interest of the Coal & Coke, which became identified as the Charleston branch of the B&O.