The Millennium Underground (Kisföldalatti vasút) was the first metro line in continental Europe and the second one in the world, completed for Hungary’s Millennial jubilee in 1896. It was inaugurated on May 2nd, by Emperor Franz Joseph. These well-known facts apart, the most surprising part is that it took only 21 months to complete the line, which wasn’t drilled – they simply opened up the road above it (today's Andrássy út), and when they finished the construction work, they covered it back over. Originally the stations had fancy entryways at street level, and stations were decorated with Zsolnay tiles below. For 70 years, the Kisföldalatti operated according to a UK-style left-hand traffic order, as was the rule in Hungary until 1941, only switching sides during its renovation and extension in 1970. This is how the line with its 11 stops between Vörösmarty tér and Mexikói út was formed. Andrássy út and the Millennium Underground were recognised together as a World Heritage Site in 2002.

Within the station at Deák Ferenc tér, visitors are welcome at the Underground Railway Museum, which occupies an abandoned section of the tracks with vintage metro carriages, telling the story of this pioneering mode of transport.