It was established in 1911 as Camp Albert, a base for cavalry and air reconnaissance units sent to protect West Texas from Mexican bandits after the Pancho Villa raid.

In 1924, a patrol called the Mounted Watchmen was established to deter persons from crossing the Rio Grande into the United States.

Originally conceived to include works by Judd, John Chamberlain, and Dan Flavin, the museum was later expanded to include works by Carl Andre, Ingolfur Arnarrson, Ilya Kabakov, Roni Horn, Claes Oldenburg and Coosje van Bruggen, David Rabinowitch, and John Wesley.

Located at Fort David A. Russell's central complex is Building 98, a project of the International Woman's Foundation and the home of the iconic World War II German POW murals.

The murals were completed in 1945 by Hans Jürgen Press and Robert Humpel, both German prisoners of war held at the base.