A National Historic Landmark, the station was the railroad's largest west of Council Bluffs, Iowa, and a major western example of Richardsonian Romanesque architecture.

The museum, founded in 1993, interprets Cheyenne's early history and that of the construction of the Union Pacific Railroad.

It houses multiple exhibits and occasionally offers tours of other railroad facilities.

Further renovations were made from 2001 to 2006, including a $6.5 million improvement by the city of Cheyenne and a plaza built in front of the Depot.

Passenger rail service ended altogether in Wyoming when Amtrak canceled its Pioneer in 1997.