The Toy Train Depot building began its life as depot in the town of Torrance, New Mexico, in 1898, so the story goes. There seems to be no written records since the county court house used to be housed in a boxcar and one night in 1912 someone burned it down (probably to prevent ownership into of some land).

At the time, Torrance was the junction for the New Mexico Central Railroad from Santa Fe and the El Paso North Eastern from El Paso to Vaughn. The New Mexico Central Railroad was short lived.

In 1912, this depot was moved by mule train to Corona, where it lived an active life in the bustling train stop of the Southern Pacific. In 1929, the building was expanded to include a baggage room. The Depot served the small town of Corona until rail service was discontinued.

In 1974, the Conners bought the Depot and moved it North of Alamogordo (where the White Sands Mall is located) and began an antique business called The Depot Antiques.

The dream of a toy train museum began to take some serious form in 1986, when John Koval and Jim Bowlin, Community Services Director for the City of Alamogordo, began to look for a home for this project. In July of 1986, the Kovals were approached by Mr and Mrs. Connor regarding the purchase of the Depot. The Kovals bought the Depot on July 17, 1987.

In January of 1989, the Depot was moved (in two parts) to its present location at the north end of Alameda Park. A lot of work had to be done to put the building back together. In March 1988, work began on the HO layout in the back room of the museum. With support of volunteers, and many hours, the layout was designed to depict railroading in the local ears in the early 40’s. This 1,000 square foot, 1/87th scale layout, depict Alamogordo, Cloudcroft, Vaughn, and Carrizozo during the steam era (representative of the SP & Santa Fe, NMC, EP&NE, A&SM railroads in the early days of steam).

Static displays include models and toy trains in many scales. At the onset, most of the displays belonged to Mr. John Koval, who did most of the work to open the Toy Train Depot. Since that time, many train enthusiasts have donated models, memorabilia and even entire collections for display.

​In January 2007, the Alamogordo McDonald's donated their Ronald's Railroad, full-sized, standard-gauge caboose to the museum. The caboose is now in a high-visibility location on US-54/70, alerting potential visitors to the museum's location(currently under renovation).

The Depot has a gift shop and model shop where railroad supplies and memorabilia are available for purchase. The store and museum are a 501c3, and are run by the Toy Train Depot Board of Directors.