In 1891, Patrick Cudahy and his brother John bought 700 acres of farmland south of Milwaukee to build a meatpacking plant. Cudahy anticipated growth around his new plant and lobbied the Chicago and NorthWestern Railway to build a new depot on its existing line near the site of the proposed Cudahy Brothers Company. Cudahy even donated the land on which to build the depot.

Chicago and NorthWestern began construction of the wood frame building in 1892. Elements of the Queen Anne style can be found throughout the depot, from the colored glass windows to the decorative exterior trim work. Initially only a passenger depot, it housed separate ladies' and men's waiting rooms. These waiting rooms flanked a central ticket/train control office with a bay window, providing a good view of the tracks.

The Cudahy Brothers Company was a success and the town flourished. Nearby Milwaukee provided a ready labor source and consumer market and soon other industries were setting up shop in Cudahy. The population doubled within a decade and the City of Cudahy was incorporated in 1906. The corresponding increase in passenger and freight traffic necessitated the construction of a freight addition in 1907, almost doubling the size of the depot.

The Cudahy Depot continued to serve the community as a transportation hub until the post-World War II decline in rail travel. Passenger service was discontinued in 1956. By the early 1970s, Chicago and NorthWestern had all but abandoned the station, but the newly formed Cudahy Historical Society fought to save it from demolition. They succeeded in their efforts and now own, operate, and maintain the depot as a museum of local history.