Built between 1902 and 1904 and located at the site of the grand but short-lived Four Seasons Hotel, Avery Hall became the first newly-constructed campus building of Lincoln Memorial University. The university was established in 1897 by former Union General Oliver Howard and Reverend Arthur A. Myers. Avery Hall included dormitories and a dining hall in addition to classrooms and the campus library. The building remains a central feature of the university campus.
Following the failure of the Four Seasons Hotel during the Panic of 1893, the property was sold. In 1897, Lincoln Memorial University opened on the site of the former hotel. Students constructed Avery Hall from the leftover foundation of its predecessor.