The 1887 Union Pacific Depot at the south end of Capitol Avenue is the most architecturally significant building in Cheyenne — a Romanesque Revival sandstone palace of arched windows and a clock tower, designed by Henry Van Brunt and listed as a National Historic Landmark. Trains stopped serving the depot in 1971 and the building was restored as a museum in 2004.
Inside, the main gallery covers the history of the transcontinental railroad in Wyoming, the construction of the line, and the building of Cheyenne as a Union Pacific town. There are working signal boards, a model railroad, and a tongue-in-cheek "depot bar" using the old ticket counter. The plaza outside hosts farmers' markets on summer Saturdays and concerts in July. Closed Mondays.