The Cheyenne Depot Museum is a railroad museum in Cheyenne, Wyoming, United States. It is located inside the 1880s Union Pacific Railroad depot. A National Historic Landmark, the station was the railroad's largest west of Council Bluffs, Iowa, and a major western example of Richardsonian Romanesque architecture. The museum, founded in 1993, interprets Cheyenne's early history and that of the construction of the Union Pacific Railroad.