It means the railway's array of stock will be able to have important restoration work and cleaning done undercover for the first time.
The shed, which has five tracks, can accommodate up to 40 of the carriages and is part of the £10m Yorkshire's Magnificent Journey Appeal.
The carriage stable is just one of six projects, which also includes the new education coach at Goathland, aimed at securing the future of NYMR and achieving one of its aims of improving its education facilities.
John Bailey, NYMR Trust Chairman, said “Fifty years ago our founders had the vision and determination to re-open the North Yorkshire Moors Railway Today we face challenges of a similar magnitude.
"We share their vision and determination, manifest through these projects that make up Yorkshire’s Magnificent Journey. They mean that 50 years hence, people will still be learning from and enjoying the experience of steam across the Moors.”
The Yorkshire’s Magnificent Journey funding has enabled the NYMR to completely redevelop the old school at Stape with a new role as ‘The Outstation’, the railway’s new volunteer development hub and outreach centre.
It aims give a more diverse range of people and wider communities the opportunity to experience the pleasure and benefits of volunteering on a heritage railway.
Other YMJ projects in progress include the conversion of four carriages to provide ‘fuss-free’, easier access, with tailored seating for wheelchair users and accessible toilets on every train.
In February 2022, the YMJ funding will also enable the renewal and reconstruction of Bridges 24 and 25 at Goathland Station - crucial to the railway’s ongoing operation.