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Hello Amberhaze and welcome to the forum.
When the early railways were being built the routes they took were often determined by geological features such as the type of soil and whether or not tunnels were required. This meant that they didn't always pass directly through some of the larger towns and villages. I don't know your part of the country very well so I am only guessing that this could have been the case with Winchfield and Hartley Wintney.
I suppose there is also the possibility that a wealthy landowner in Hartley Wintney didn't want the railway built on his land so it went through Winchfield instead.
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