Railroad development in central Trempealeau County began in 1866 with the charter for the Green Bay and Lake Pepin Railroad Company. The proposed route across the central part of the state would provide a Lake Michigan to Mississippi River rail link that would connect to the burgeoning national rail network and would bring economic prosperity to both the investors and the communities served by the rail line. Laying of track began the fall of 1871 in Green Bay and small settlements along the proposed route competed vigorously for the right of way. From Merrillan in Jackson County the rail route was to follow the valley of the Trempealeau River and thus eliminate the extra time and expense needed to engineer and build over or through steep grades. Construction continued for the next two years, and by September of 1873 tracks were laid through the wheat field that was to become Whitehall. The first regular passenger service between Green Bay and Whitehall began on January 1, 1874, inaugurating a new era for the small farming settlements in central Trempealeau County. The importance of the rail connection for the communities of Blair, Whitehall, Independence, Arcadia, and Dodge is noted by the fact that all five of these Trempealeau River settlements essentially relocated to be closer to the rail line.

As the population of Whitehall increased after 1874, so did the level of commerce. Increased economic activity encouraged Whitehall citizens to build a town hall that could be used as a county courthouse. The location of Whitehall on the Green Bay and Western railroad line and its central location in the county contributed to its selection as the county seat in 1877.

The current 1914 depot replaced an earlier wood frame depot built in 1877. The new brick depot, constructed by the Green Bay and Western Railroad, included design elements typical of train depots of the early 20th century, including a central counter, men's and women's waiting rooms and a sheltering overhang. The overall condition of the depot building is excellent and the exterior is essentially unaltered.

The Green Bay and Western Railroad Depot is owned by the City of Whitehall. The depot was restored using a Transportation Enhancement grant and is open to the public.