This question originally appeared on Quora. 
Answer by Matt Falber, licensed New York City guide and Central Park aficionado, @MattFalber
In 1831, the New York Central and Harlem Railroad built the first rail into New York City. It ran down Fourth Avenue from the north and ended at their depot on 27th St. Initially, the trains were drawn by a team of horses. When stream locomotives eventually took their place, people further downtown in the more populous part of the city began to complain about the steam and dangerous circumstances. Eventually, the city forced the railroad to discontinue stream service below 42nd Street and so they built an underground viaduct where they moved trains by horse down to their depot on 27th Street. A park was built where the trainline had once been and so Fourth Avenue was dubbed Park Avenue.
In the late 1860s when Cornelius Vanderbilt purchased the railroad, he decided horse drawn trains were unacceptable. He built a new depot, the Grand Central Depot at 42nd and Park. Then, after pressure from the city, he moved the uptown train tracks underground and this part of Fourth Ave also became Park Avenue. It wasn't until 1902, when the Pennsylvania Railroad acquired the right to come into New York City that the uptown Park Avenue became a desirable place to live though. Up until then, it retained a semi-industrial feel thanks to the stream vents the emptied onto the street. To ensure he could compete with the Pennsylvania, Vanderbilt upgraded the rail to electric and rebuilt Grand Central Depot into Grand Central Terminal, a building beautiful enough to compete with the soon to be completed Pennsylvania Station.
The street grew in prestige over the years, synonymous with the wealthy residents of the Upper East Side. In 1959, the New York City Council changed the name of Fourth Avenue that ran from 17th Street up to 32nd Street to Park Avenue South in order to please businesses which wanted a piece of the esteem now associated with Park Ave. This left only a very small area of the original Fourth Avenue. It still exists at the base of Union Square and runs down to Cooper Square at Eighth Street.