The Wyoming Transportation Museum, also referred to as the Cheyenne Depot Museum, is a railroad museum located in Cheyenne, Wyoming. It is located inside the historic Union Pacific Railroad depot. This depot was built in 1886 to 1887. It is self-proclaimed to be the most beautiful rail station in North America. Typically the Cheyenne Depot Museum hosts an annual Steam Train Excursion in July. The station is built from blocks of sandstone quarried and transported from Ft. Collins, Colorado. The Depot stands directly down the street from, and facing the, Wyoming State Capitol building, signalling its historic significance in the city and state.