The Pittsburgh, McKeesport and Youghiogheny Railroad was incorporated on August 3, 1881, under the general laws of the State of Pennsylvania passed April 4, 1868. The road extended from the terminus of the Pittsburgh and Lake Erie Railroad in Pittsburgh, Pennsylvania to Connellsville, Pennsylvania.

It was eventually leased to the Pittsburgh and Lake Erie Railroad Company, January 1, 1884, for a term of nine hundred and ninety-nine years from August 3, 1881. Under the terms of the lease The Pittsburgh and Lake Erie Railroad Company and the Lake Shore and Michigan Southern Railway Company guaranteed six percent interest on the bonds, and six percent per annum dividend on its capital stock.