The story
1926 link
In 1926, the GWR reopened the 1883 link between the two lines just outside the two Marlborough stations, enabling trains from the main line junction at Savernake Low Level to pass through Marlborough on to the north.
1933 link
Further changes came in 1933. The GWR built a second link between its original branch line and the M&SWJR line much nearer Savernake and closed the original branch and station in Marlborough to passenger traffic. The goods yard at Marlborough GWR station was retained, but was accessed from the north through the Marlborough M&SWJR station using the link that had been restored in 1926.
All passenger services were rerouted to the M&SWJR station at Marlborough. The GWR chose to operate the double track M&SWJR line as two separate single track lines: the former up line (towards Swindon) was used for the branch services from Savernake Low Level while the through north–south services which passed through Savernake High Level all ran on the former down line. This odd arrangement persisted into British Railways days.
From Wikipedia’s article on Marlborough Railway, shared under CC BY-SA 4.0.3