Construction of the depot began in 1866 and was completed in 1872. Initially, the depot was only a one-room structure, but as the railroad trade grew, with freight and passenger service increasing, an addition was built in 1876.
On December 16, 1872, the first passenger train came through Olmsted. The name of the rail line was the Cairo and Vincennes. It later became the Big Four; then the New York Central and later the Penn Central. With the coming of the railroad in 1872 and Olmsted being a rural area, farm products were shipped by rail. The platform of the depot would be lined with cream cans and crates of farm fresh vegetables to be loaded on the evening train to be taken to Chicago and other points for human consumption.
The historic old train depot was restored to the way it was when in operation, and now is used as a museum, along with the recently renovated New York Central caboose.
The depot and caboose are open to the public.