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Sedalia's elegant Katy Depot (named after the Kansas Atchison and Topeka Railroad) was constructed in the Romanesque Revival style. The Missouri-Kansas-Texas Railroad began operating in Sedalia in 1873. Bradford Lee Gilbert designed the depot which was built of limestone from the nearby Georgetown Quarry, by George Goodlander, and officially opened on May 10, 1896. The popular gathering spot served the community with elegance and charm for more than 60 years. The last passenger train left the Depot in 1958.

The exterior of the Depot was restored in 1998 to its original beauty and the interior renovation was completed in 2001. The Depot is the home to Sedalia's Welcome Center and proudly features Heritage Exhibits, which opened June 28, 2003. The unique design of the exhibits represents the way railroads influenced the community. Graphic panels, exhibit cases, an audio visual presentation room, and two motion-censored cast characters were added in April of 2004.