Brent Cross West (formerly Brent Cross South / Thameslink / Parkway) is a planned railway station on the Thameslink route on the Midland Main Line. It will serve Brent Cross and the northern parts of Cricklewood and Dollis Hill areas of north London and the proposal is part of the Brent Cross Cricklewood development, which also sees an investment to Cricklewood station further down the line. The station is set for opening in 2022.

Source: Wikipedia.
Brent Cross West was supposed to be the penultimate station (the terminus being Hendon) on the northern prong of West London Orbital, a railway scheme promoted by Transport for London. This is no longer possible (more on this topic coming very soon). The proposed terminus on the southern prong is West Hampstead Thameslink.
Location of Brent Cross West station shown on OpenStreetMap

© OpenStreetMap contributors | OpenStreetMap copyright notice | View context map of proposed location
Here is a map showing the location of the new station in relation to an expanded Brent Cross shopping centre (the purple area):
Location of Brent Cross West station
The promoter of the scheme is Barnet Council. Building work is scheduled for completion by the end of 2022 (source: Trundleage—Proposed Railway Schemes).

Further reading

Barnet Council’s Brent Cross Cricklewood website

New railway station at Brent Cross West gets approval, on the IanVisits website (May 2020)

Project Manager selected for Brent Cross West, on Trundleage—Proposed Railway Schemes website

West London Orbital