From the Wikipedia page 
Grosvenor Road station was a London railway station located at the north end of Grosvenor Bridge on the approach tracks to Victoria Station.
Victoria station was originally operated as two separate parts served by the London, Chatham and Dover Railway (LC&DR) and the London, Brighton and South Coast Railway (LB&SCR) and Grosvenor Road station was also operated in this way. The LC&DR station operated between 1867 and 1911 and the LB&SCR station operated between 1870 and 1907.
The station building of the LC&DR station remains on the eastern side of the tracks adjacent to Grosvenor Road (A3212) although no platforms remain at the elevated track level.
See also Pimlico Station