Why didn't Voldemort, with his Death Eaters, attack Harry at the train station in Order of the Phoenix or in Half-Blood Prince? He could have easily outsmarted the wizards and witches there with the help of his Death Eaters, or he could have just Disapparated after killing Harry.
In the fifth part, Voldemort was doing his best to keep hidden, which makes things easier for him if no one believes he came back, and because of the history, he wanted to be the one who kills Harry. In that case, it would not have been very realistic of him to suddenly appear at the King's Cross, nor would he want his Death Eaters to do the job for him. Even at the end, surely it was not part of his plan to be seen by Fudge and the others.
In the sixth book, we can make some assumptions, especially based off of this part:
“Ah, Harry!” said Mrs. Weasley loudly, cutting across Fleur’s monologue. “Good, I wanted to explain about the security arrangements for the journey to Hogwarts tomorrow. We’ve got Ministry cars again, and there will be Aurors waiting at the station —”
“Is Tonks going to be there?” asked Harry, handing over his Quidditch things.
“No, I don’t think so, she’s been stationed somewhere else from what Arthur said.”
Harry Potter and the Half-Blood Prince, Chapter 7: The Slug Club.
Given that, it's safe to believe that the travel to King's Cross as well as the station itself is being watched by a highly capable set of Aurors, again, which would be a very messy situation for even Voldemort and his friends to deal with. Hence the elaborate plan involving Dumbledore and such.
It isn't clearly claimed, but I think that the most important places of magicians were protected some way (aurors, magic, maybe Dumbledore). Voldemort appears at the Ministry in the end of book V and we can see that it's dangerous for him too.
Anyway, many of the death eaters and their children are usually in King's Cross by the departure. It would be dangerous for them to start a fight there - and of course the attack would be obvious if these people were missing.
King’s Cross is watched by the Ministry.
The Dark Lord didn’t only have to defeat whatever guard Harry himself came with - there would be several Ministry employees around King’s Cross to make sure no Muggles see anything magical.
On the whole, this has worked well, although there have been minor problems over the ensuing years, such as witches and wizards who have dropped suitcases full of biting spellbooks or newt spleens all over the polished station floor, or else disappeared through the solid barrier a little too loudly. There are usually a number of plain-clothed Ministry of Magic employees on hand to deal with any inconvenient Muggle memories that may need altering at the start and end of each Hogwarts term.
- King’s Cross Station (Pottermore)
If the Dark Lord or the Death Eaters showed up there, these Ministry employees would almost certainly call in Aurors. Also, they’d likely take an attack at King’s Cross even more seriously than one at a wizard-only place because if the Dark Lord and the Death Eaters start using magic around Muggles, which they probably would be if trying to attack Harry, it could violate the Statute of Secrecy. Because of that, the Ministry is likely to take more decisive action to stop them, so it’d be far riskier for the Dark Lord and the Death Eaters to try attacking Harry there.
Mostly, it is because he was scared. Remember that after the fight in the graveyard of Little Hangleton Voldemort does not understand why he was defeated by Harry twice. He is hunting for the prophecy in the 5th book, and without hearing it he is very wary of attacking Harry. What if he 'dies' again? That would set him back another 12 years. That would suck.
In the sixth he still has not found the answer to why Harry keeps beating him. In fact, he was beaten almost worse in the 5th book. So, he wants Olivander, he wants the power of the ministry. He wants Dumbledore out of the way. All before he kills Harry. Notice that after the 4th book the only time he actually tries to kill Harry is in the 7th book, when he thinks a different wand will work, and after he obtains the Elder wand.