In 1864 a wooden depot was constructed on this location; however, a fire in 1889 destroyed the depot and the Missouri Pacific lines decided to replace it with one constructed of locally quarried sandstone. The new depot opened for service in December of 1889. The architecture of the building is Richardsonian Romanesque and when it was constructed it had a ticket office, waiting rooms, and a baggage room.
President Truman stopped at the depot for a campaign speech in 1948 on his whistlestop tour. Not to be outdone, Truman's challenger in 1948, Thomas Dewey, also stopped by and delivered a campaign speech from the back of his rail car.
The depot closed to the public in 1972, but in 1982 the Warrensburg Chamber of Commerce formed a "Depot Renovation Group" that led an effort to reopen the depot to serve as its headquarters and also to provide space to for an Amtrak passenger waiting room. The Chamber raised $300,000 for the renovations, which resulted in the addition of a 1984 narrow baggage room to the west end of the building. In 1990 the Chamber rededicated the space and in 1992 the renovated depot once again reopened to the public serving as the offices for the Warrensburg Chamber of Commerce and Amtrak passengers.