The rail line that this station served was built by the Wabash, St. Louis and Pacific Railway in either 1882 or 1883.

It was part of the 500 miles (800 km) of track developed by Jay Gould in Iowa.

Four years later the Chicago, Milwaukee and St. Paul Railway acquired the line.

The Milwaukee Road built this train station from their standard building plan between 1906 and 1909.

The Milwaukee Road discontinued passenger service in Jefferson in the early 1950s, and the depot continued as a freight office until 1980.